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. Moskowitz, and Lasse Heje Pedersen, and published in the Journal of Finance in June 2013, under the heading ‘Value and momentum.’ The…