Dock så är trend inte samma sak som momentum. Som Nightowl sa.
Avantis:
Since Jegadeesh and Titman first published research on momentum effects in 1993, many empirical studies have formed a consensus that momentum is a significant driver of returns. Momentum suggests companies exhibiting positive (negative) returns relative to their peers will continue to outperform (underperform). While momentum portfolios in theory show strong outperformance relative to the market, in practice it can be costly to capture because companies don’t typically exhibit positive or negative momentum for long periods. We seek to integrate momentum into our strategies by balancing the expected return benefits with the implementation costs.
Downward momentum can have negative effects on value strategies since stocks typically become high book-to-market (value) when prices decrease. On the other hand, a portfolio should benefit from stocks that have experienced positive momentum, since these securities are expected to continue increasing in price relative to their peers. Momentum can be managed effectively using a variety of different ranking periods (e.g., previous 12-month or previous three-month performance). We use two complementary measures in an effort to robustly manage momentum in our strategies.
The first approach delays the purchase of stocks with large negative six-month returns and avoids the sale of stocks with large positive six-month returns. We believe this approach enables us to pursue momentum without an expected increase in turnover.
We complement the six-month momentum screen by lagging price in our book-to-market ratio, similar to how the HML factor is computed in many Fama/French studies. Strategies using book-to-market ratios with current price in the denominator cause a stock to be eligible for purchase the moment a meaningful price decrease causes it to become “value,” which also creates exposure to negative momentum. An adjusted book-to-market ratio that lags price by three months helps mitigate these negative effects. Conversely, the same price lag delays the sale of securities that are increasing in price and exhibiting upward momentum. We believe combining the two momentum techniques improves the expected effects of momentum on the strategy without incurring additional turnover.
