Passivt sparande i indexfonder | Sammanställning för artiklar, studier och liknande

[Marknadstajmarn]

Jag har håller till stor del med @janbolmeson … men inte helt och hållet.
Så här kommer några studier som motvikt som jag postade i en annan tråd för några månader sedan.

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Den första allmänt kända studien verkar vara Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993) av Narasimhan Jegadeesh och Sheridan Titman.

This paper documents that strategies which buy stocks that have performed well in
the past and sell stocks that have performed poorly in the past generate significant
positive returns over 3- to 12-month holding periods.

Och en senare studie av samma författare: Momentum (2011)

Underlying the efficient market hypothesis is the notion that if any predictable
patterns exist in returns, investors will quickly act to exploit them, until the source of
predictability is eliminated.

However, this does not seem to be the case for either stock
return or earnings based momentum strategies. Both strategies have been well-known
and were well-publicized by at least the early 1990s, but both continued to generate
excess profits in the subsequent years.

We would argue that the momentum effect represents perhaps the strongest
evidence against the efficient markets hypothesis.

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Sen har vi Dissecting Anomalies (2007) av Eugene Fama och Kenneth French:

The premier anomaly is momentum: Stocks with low returns
over the last year tend to have low returns for the next few months and stocks
with high past returns tend to have high future returns.
…
Momentum is left unexplained by the three-factor model
of Fama and French (1993) as well as by the CAPM.
…
Momentum sorts produce strong positive average Value Weighted and Equal Weighted
hedge returns for all size groups.
…
Which anomalies are present in all size groups and produce returns that vary
systematically from the low to the high ends of the sorts? Momentum satisfies
both criteria. Abnormal Value Weighted momentum returns are strongest for microcaps
and weakest for big stocks, but they are impressive in all size groups, and
they increase rather systematically from strongly negative for extreme losers
to strongly positive for extreme winners. Equal Weighted momentum returns in all size
groups also vary smoothly from losers to winners.
…
All approaches agree that there are strong relations between momentum and average returns in all size groups.

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Ett par artiklar från OSAM:

• The Factor Archives: Momentum
• Factors From Scratch

The following chart shows the total return of a Momentum strategy, which we will also refer to as a “Winners” strategy, alongside the total return of its corollary, which we will refer to as a “Losers” strategy, from June 1964 through October 2017. The Momentum (Winners) strategy invests in the top quintile of large cap stocks on trailing six month returns while its corollary, the Losers strategy, invests in the bottom quintile

The chart clearly demonstrates that stocks with high momentum outperform the universe, offering an excess return of 4.3% annually. On a risk‐adjusted basis, these stocks also outperform, with a Sharpe Ratio 1.5x higher than the All Stocks Universe (0.58 vs. 0.35). Finally, they are also consistent, outperforming in 91% of the 648 rolling‐three-year periods. Conversely, stocks with the lowest momentum underperform by ‐8.2%, have a worse Sharpe Ratio, and only outperform the market 9% of the time in rolling-three-year periods.

We plot the average EPS of the Momentum factor over all historical 10 year holding periods alongside the average EPS of the market:
Consistent with our earlier observations, we see that Momentum generates very strong EPS growth during the initial 12 month period, building up a noticeable lead over the market.

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Ur Fact, Fiction and Momentum Investing:

The existence of momentum is a well-established empirical fact.
The return premium is evident in 212 years of U.S. equity data, dating back to the Victorian age in U.K. equity data, in more than 20 years of out-of-sample evidence from its original
discovery, in 40 other countries, and in more than a dozen other asset classes.
…
Momentum is present in U.S. stocks over very long time periods and, following its academic discovery in the early 1990s, has been shown to be robust out-of-sample (an important exercise we will repeat here), in the individual stocks of other countries, for stock markets, and for completely different asset classes, such as bond markets, currencies, commodities,
and others.

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Och sen finns ju MSCI World Momentum Index.

A momentum value is determined for each stock in the MSCI parent index by combining the stock’s recent 12-month and 6-month local price performance.
This momentum value is then risk-adjusted to determine the stock’s momentum score.

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Några andra referenser:

• A Century of Evidence on Trend-Following Investing
• Two centuries of trend following
• Two Centuries of Multi-Asset Momentum
• A Quantitative Approach to Tactical Asset Allocation
• Trend Following In Financial Markets: A Comprehensive Backtest
• Factor Momentum Everywhere

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För att citera Factors From Scratch av OSAM igen:

Ultimately, Momentum’s outperformance is based on a mistake. That isn’t a problem, however, because all alphas are based on mistakes. The difference between Value and Momentum lies in where the mistake happens. In Value, it happens at the beginning of the period, when the market under-prices stocks with deteriorating fundamentals, setting them up to outperform as they stabilize and recover. In Momentum, the mistake happens at the end of the period, when stocks with unusually high growth rates get stretched well past fair value, with the stretching creating an excess return that then gets reversed in subsequent periods.

The fact that Value and Momentum work off of overreactions to different fundamental conditions at different points in the investment process helps explain why they represent attractive portfolio complements for each other. As a convergent process, Value tends to do poorly in periods where prices are moving away from fair value–periods such as the run-up to the Tech Bubble, from 1997 to 2000. But those are the kinds of periods where Momentum, a divergent process, tends to do well. At the other end of the spectrum, Momentum tends to do poorly in periods where prices are converging towards fair value–periods such as the aftermath of the Tech Crash, from 2000 to 2003. But those are the kinds of periods where Value tends to do well.