globalen
Short-term factor momentum

Short-term factor momentum

21-08-2019 | From the field
The evidence for the existence of various factor premiums is strong. But evidence that the performance of these factor premiums can be successfully timed is conspicuously absent.
  • David Blitz
    David
    Blitz
    Head of Quant Research

This is not for lack for effort, because many investors and asset managers have tried to develop a successful factor timing strategy.

Two recent papers1 show that factors exhibit short-term return momentum: factors that did well (poorly) over the past one month tend to continue to do so over the subsequent one month. These studies suggest that factor performance can be timed after all, albeit in the very short run only.

However, it remains an open question whether the short-term factor momentum effect can be profitably exploited after transaction costs, and whether the effect is also present in markets other than the United States.

1 See: Gupta & Kelly, “Factor Momentum Everywhere”, Journal of Portfolio Management, Vol. 45, No. 3, pp. 13-36, 2019. See also: Arnott, Clements, Kalesnik & Linnainmaa, “Factor Momentum”, working paper, 2019.

Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe
From the field
From the field

Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.

Read all articles
Subjects related to this article are:
Logo

Disclaimer

The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.

Decline