Factor Momentum

Factor Momentum

SUMMARY

  • The Momentum strategy can be applied to stocks, sectors, countries and factors
  • Factor momentum shows positive excess returns across regions
  • However, single-stock Momentum performance is comparable and less complex to implement

Q2 hedge fund letters, conference, scoops etc

INTRODUCTION

We recently investigated applying the long-short Momentum strategy to sectors and countries in Europe, which revealed positive excess returns (“

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