SA equities: Momentum continues to be crushed

SA equities: Momentum continues to be crushed

The markets have definitely changed. The low volatility, easy monetary policy and search for yield proved to be a boon for momentum stocks. Going long high momentum and short low momentum stocks had almost become a staple trade for many. Momentum, however, has been crushed in 2016 and in turn that trade has now reversed. In South …

Read More Read More

SA equities: Basic fundamental factor portfolios

SA equities: Basic fundamental factor portfolios

I wanted to switch gears a bit from momentum and look at some fundamental factor screening portfolios. Here I am only interested in using historical fundamental data. Also note that I have lagged all fundamental data by 3 months to reduce the impact of backfilling. I have tried to use fairly basic factors. A few “value” based …

Read More Read More

Momentum in SA equities over different lookback periods

Momentum in SA equities over different lookback periods

It’s been a while since a posted the previous post in which we looked at momentum in SA equities over a 6 month look back period (skipping the latest month). We also showed how the volatility of the highest stock momentum portfolio looked reasonably predictable (or at least wasn’t random noise). Is 6 month’s optimal though for a lookback period? …

Read More Read More

Momentum in South African equities

Momentum in South African equities

Momentum has proven to be one of the most pervasive factors out there in the investing/trading world. A number of academic papers (beginning with the seminal Jegadeesh and Titman paper) have shown momentum to be a persistent and somewhat unexplained (at least by traditional market theory) factor. In South Africa there have been a few …

Read More Read More