Nomura’s Academic Research Review: Value And Momentum – ValueWalk Premium
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Nomura’s Academic Research Review: Value And Momentum

The Journal Round-Up of November 11, 2013 from Nomura Quantitative Strategy has a section that focuses on academic papers on cross-asset tactical allocation.

The subject has assumed importance given the rapid growth seen in the AUM of multi-asset funds. The academic papers are grouped under the heads Value, Technical/momentum, Value and momentum, and Regime-switching and asset allocation.

Tactical asset allocation: value and momentum

Nomura mentions ‘Value and Momentum Everywhere,’ a study authored by Clifford S. Asness, Tobias J . . .


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