Momentum - A Contrarian Case for Following the Herd
Momentum – A Contrarian Case for Following the Herd.pdf
Tom Hancock of GMO finds a momentum strategy outperformed a broad universe of U.S. stocks by nearly 4% per year from 1927-2009/
Asymmetric Investment Returns Resources articles
- Absolute Return Strategies
- Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
- The Credit Suisse 130/30 Index: White Paper
- Risk Control Through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation
- Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
- Market Timing Strategies That Worked (2002)
- Creating pools of assets: family investment partnerships, private hedge funds
- SYSTEMATIC TREND FOLLOWING AND RELATIVE STRENGTH ETF MODELS, STRATEGIES, AND SYSTEMS
- Multifactor Explanations of Asset Pricing Anomalies
- Alternative Risk Measures
- Asset Allocation (Conventional)
- Asymmetric Reaction to News
- Behavioral Finance
- Inefficient Markets: An Introduction to Behavioral Finance
- A Risk Perception Primer: A Narrative Research Review of the Risk Perception Literature in Behavioral Accounting and Behavioral Finance (2004)
- Cognitive Bias
- Behavioral Finance: examining how psychological factors affect financial decisions.
- Outcome Bias in Decision Evaluation
- Andrew Lo A student of Investor Behavior Explains How Human Psychology Plays a Key Role in Financial Crises
- Information Asymmetry, Price Momentum, and the Disposition Effect
- Illusory Superiority
- Workshop in Behavioral Finance
- Positive Illusions
- Rober Shiller Lecture on Behavioral Finance: The Role of Psychology
- Over-optimism and Optimism Bias
- Behavioral Finance and Behavior Economics
- Illustion of Control
- What is Behavioral Economics?
- The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence
- Disposition Effect
- Overconfidence
- A Model of Investor Sentiment: Underreaction and Overreaction Barberis, Shleifer and Vishny (1998)
- Asymmetric Contests with Conditional Investments
- Dynamics of Asset Returns Considering Investors' Asymmetric Risk Preferences
- Daniel Kahneman
- Confirmation Bias
- Underreaction and Overreaction
- Asymmetric responses to winning and losing investments
- A Survey of Behavioral Finance
- From Efficient Markets to Behavioral Finance
- Academy of Behavioral Finance & Economics (ABF)
- Beliefs
- Definitions
- Dalbar Quantitative Analysis of Investor Behavior (QAIB)
- Relative Return - Defined
- Paradox - Defined
- Cyclical and Secular Bull and Bear Markets - Defined
- Tactical Asset Allocation - Defined
- Crowd Sentiment and Investor Sentiment - Defined
- Absolute Return - Defined
- A Full Market Cycle - Defined
- Trend Following - Defined
- Tracking Error or Tracking Risk Defined
- Buy and Hold Definition
- Activism
- What is a Contrarian?
- Symmetrical Distribution (Symmetry) Definition
- Empirical: Data, Finding, and Method, Defined
- Qualitative Research
- Quantitative Research Defined
- Asymmetric Volatility Phenomenon (AVP) Defined
- Anecdotal Evidence Definition
- What is an Accredited Investor? Accredited Investor Defined
- What does Systematic mean?
- What does Empirical (testing, results, etc.) mean?
- Scientific Method
- Law of Small Numbers
- What is the illusion of asymmetric insight?
- Active Risk Management Defined
- Algorithm Defined
- Closet Index Fund Defined
- What is an Exchange Traded Fund (ETF)?
- Asymmetry and Symmetry Definitions from Statistica
- Information Asymmetry Defined
- Correlation Coefficient (Pearson Correlation)
- What is a family office? Family office defined
- What does Global Tactical Asset Allocation (GTAA) mean?
- Meritocracy Defined
- Technical Analysis
- Pie Chart
- Portfolio Management Fee and Performance Incentive Fee
- Barclay Hedge Fund Index
- Barclays Capital Aggregate Bond Index
- Autocorrelation, Serial Correlation, Lagged Correlation, Defined
- Dynamic Asset Allocation
- Efficient Market Hypothesis
- Greenspan Admits Flaw in His Beliefs: That Markets are Rational and Efficient
- How Greenspan's Framework and Efficient Market Hypothesis Went Awry - Daniel Kahneman
- Benoit Mandelbrot Critique on Efficient Market Hypothesis
- Robert Shiller Lecture on Efficient Market Hypothesis
- The Efficient Market Hypothesis on Trial: A Survey by Philip S. Russel and Violet M. Torbey
- The Misbehavior of Markets: A Fractal View of Financial Turbulence
- What is a market anomaly?
- General
- Global Tactical Rotation
- Institutional Investors
- Investor Sentiment
- Modern Portfolio Theory
- Momentum and Relative Strength
- Momentum Investing by Tobias J Moskowitz PhD
- Time Series Momentum: A Trending Walk Down Wall Street
- A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
- Dissecting Anomalies - Momentum is Pervasive
- A Synthesis on Stock Momentum
- Do Industries Explain Momentum?
- Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency - Jegadeesh Titman (1993)
- Profitability of Momentum Strategies an Evaluation of Alternative Explainations by Jegadeesh & Titman 2001
- The 52-Week High and Momentum Investing
- The 52-week High and Momentum investing Revisited
- The Long-Lasting Momentum in Weekly Returns
- Momentum Defined
- Relative Strength as a Criterion for Investment Selection
- Momentum and Relative Strength Papers from Chartered Alternative Investment Analyst (CAIA) Association
- A test of the Investor's Business Daily stock ranking system
- Industry Information and the 52-Week High Effect
- Time Series Momentum and Cross Sectional Momentum
- Style investing and momentum investing: A case study
- Momentum - A Contrarian Case for Following the Herd by Tom Hancock GMO
- Market Cycles and the Performance of Relative-Strength Strategies
- Is momentum investing a viable strategy for individual investors?
- Momentum - A Contrarian Case for Following the Herd
- Global Tactical Asset Allocation ETF Models and Strategies
- Momentum and Mean-Reversion in Strategic Asset Allocation
- Relative strength momentum portfolio
- Momentum by Narasimhan Jegadeesh and Sheridan Titman
- Money Management
- Non-Normal Distribution
- Parting with the Bell Curve: Interview with Dr. Svetlozar Rachev
- Asymmetrical Distribution Defined
- Asymmetric Returns and Sector Specialists
- The truth about asymmetric market returns: fat-tails and black swans
- Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
- Prospect Theory
- Random Walk Hypothesis
- Research Papers
- The Case for Active Portfolio Management
- Trend Following
- Underreaction
