Author Topic: Value investing and momentum  (Read 3659 times)

ericd1

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Re: Value investing and momentum
« Reply #10 on: July 22, 2011, 07:53:56 PM »
Slant - I've been following a blogger that uses a couple of interesting momentum strategies. One is style timing of major asset classes. It's similar to the "ivy Portfolio". Another combines the portfolios of about a dozen value investors (public co/funds and hedge funds). Then lists the holdings by a momentum ranking which includes addl info like number of portfolios holding the stock. The premise of the strategy is to invest in the higher momentum positions.

I've invested in a couple of the better performers with mixed results, but no losers! These aren't small/micro caps, more large/mid caps.

I was doing well with CapitalSource (CSE), but it has slipped back a little. Valeant Pharma (VRX) has been very good. I'm going to continue using the strategy for idea generation  


Rabbitisrich

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Re: Value investing and momentum
« Reply #11 on: July 31, 2011, 10:30:36 PM »
http://www.psyfitec.com/2011/07/perpetual-novelty-santa-fe-style.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+ThePsy-fiBlog+%28The+Psy-Fi+Blog%29


When Arthur and colleagues modelled a simple stock market by allowing investors to modify their expectations in response to market changes - which were themselves formed by expectations in an endless recursive fashion - they found that if people didnít change their future expectations very often the simulation once again settled down to an equilibrium in line with the classical models, under the rational expectations approach. However, if their expectations changed more frequently the market never reached equilibrium and weaved about randomly, oscillating between periods of stability and periods of great volatility.

As the researchers state, this helps to explain:

    "One of the more striking puzzles in finance: that market traders often believe in such concepts as technical trading, "market psychology", and bandwagon effects, while academic theorists believe in market efficiency and a lack of speculative opportunities. Both views, we show, are correct, but within different regimes."

ubuy2wron

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Re: Value investing and momentum
« Reply #12 on: August 01, 2011, 07:14:55 AM »
Really interesting topic. It seems that from the world of quant investing and a whole pile of dough is invested by the quants ,Relative strength, which is one measure of momentum, has a pretty prominent weighting in most models. It would seem that cheap by most definitions would preclude it from any highly ranked momentum measure. However it would seem pretty easy to buy the most reasonably valued companies with a high momentum ranking would be a pretty easy policy to implement. Whether it ads Alpha is questionable. What you are proposing is done a lot already I think.