Gary Antonacci has a very nice article at Optimal Momentum regarding long-only momentum. Most academic studies look at long-short momentum, while most practitioners (like us) use long-only momentum (also known as relative strength). Partly this is because it is somewhat impractical to short across hundreds of managed accounts, and partly because clients don’t usually want to have short positions. The article has another good reason, quoting from an Israel & Moskowitz paper:
Using data over the last 86 years in the U.S. stock market (from 1926 to 2011) and over the last four decades in international stockmarkets and other asset classes (from 1972 to 2011), we find that the importance of shorting is inconsequential for all strategies when looking at raw returns. For an investor who cares only about raw returns, the return premia to size, value, and momentum are dominated by the contribution from long positions.
In other words, most of your return comes from the long positions anyway.
The Israel & Moskowitz paper looks at raw long-only returns from capitalization, value, and momentum. Perhaps even more importantly, at least for the Modern Portfolio Theory crowd, it looks at CAPM alphas from these same segments on a long-only basis. The CAPM alpha, in theory, is the amount of excess return available after adjusting for each factor. Here’s the chart:
Source: Optimal Momentum
(click on image to enlarge)
From the Antonacci article, here’s what you are looking at and the results:
I&M; charts and tables show the top 30% of long-only momentum US stocks from 1927 through 2011 based on the past 12-month return skipping the most recent month. They also show the top 30% of value stocks using the standard book-to-market equity ratio, BE/ME, and the smallest 30% of US stocks based on market capitalization.
Long-only momentum produces an annual information ratio almost three times larger than value or size. Long-only versions of size, value, and momentum produce positive alphas, but those of size and value are statistically weak and only exist in the second half of the data. Momentum delivers significant abnormal performance relative to the market and does so consistently across all the data.
Looking at market alphas across decile spreads in the table above, there are no significant abnormal returns for size or value decile spreads over the entire 1926 to 2011 time period. Alphas for momentum decile portfolio spread returns, on the other hand, are statistically and economically large.
Mind-boggling right? On a long-only basis, momentum smokes both value and capitalization!
Israel & Moskowitz’s article is also quoted in the post, and here is what they say about their results:
Looking at these finer time slices, there is no significant size premium in any sub period after adjusting for the market. The value premium is positive in every sub period but is only statistically significant at the 5% level in one of the four 20-year periods, from 1970 to 1989. The momentum premium, however, is positive and statistically significant in every sub period, producing reliable alphas that range from 8.9 to 10.3% per year over the four sub periods.
Looking across different sized firms, we find that the momentum premium is present and stable across all size groups—there is little evidence that momentum is substantially stronger among small cap stocks over the entire 86-year U.S. sample period. The value premium, on the other hand, is largely concentrated only among small stocks and is insignificant among the largest two quintiles of stocks (largest 40% of NYSE stocks). Our smallest size groupings of stocks contain mostly micro-cap stocks that may be difficult to trade and implement in a real-world portfolio. The smallest two groupings of stocks contain firms that are much smaller than firms in the Russell 2000 universe.
What is this saying? Well, the value premium doesn’t appear to exist in the biggest NYSE stocks (the stuff your firm’s research covers). You can find value in micro-caps, but the effect is still not very significant relative to momentum in long-only portfolios. And momentum works across all cap levels, not just in the small cap area.
All of this is quite important if you are running long-only portfolios for clients, which is what most of the industry does. Relative strength (momentum) is a practical tool because it appears to generate excess return over many time periods and across all capitalizations.
ugg boots genuine
Bead generating has become a fantastic hobby and craft for numerous many people nowadays. It really is terrific to be able to create your personal jewelry or to promote them for profits. Ordering beads over the internet holds a large number of benefits…
I am a avid motorcycle rider along with a excellent high-quality motor bike clothing is my important want. So when i landed up in this site to find one of the preferred motor bike clothing on the internet, I used to be in seventh heaven. I have taken couple of rides in on this motor bike jacket and I could not be happier.
Authentic Windows Small Business Server 2008 Premium CD Key
http://daniel.se/site/mulberry.aspmulberry väskor kopior
Inspiring quest there. What happened after? Take care!
cintura gucci prezzo http://www.4site.it/awstats/gucci.asp?p=cintura-gucci-prezzo.html
several other men, said:.” Brother, you say how to do it we listen to you “
you can help me ascertain the specific location of Sumeru veins, and their reserves, order goods, etc., has been very great. I Zhaomu thank you. “
the oncoming meteorite rain too fast, too strong, Zhao Mu, who do not have enough time to escape to the back of the planet, had to fly regardless of whether the atmosphere outside, spotted floating around the planet meteorite After the stream, hiding from the meteorite streams have outside space among Shiji Li.
alcoholism treatment
get greatest info drug addiction rehab available
Thanks , I’ve just been searching for information about this topic
for ages and yours is the greatest I have discovered so far.
But, what in regards to the bottom line? Are you sure about the supply?
The steel entire body of the auto is always
worth one thing, even if it is getting scrapped. Junk
Cars Cash is equipped with its own fleet of tow trucks offering services across
the length and breadth of the city. While continuously offer us the finest customer
service.
you may need to possess some stone, that you may mine making use of your fists.
I sunk hours upon hours into modding popular RPG’s, FPS’s, and RTS’s.
Private matches will be labeled as a beta when the update is released to give
Respawn Entertainment the opportunity to make changes based on player feedback.
Fantastic website you have here but I was wondering if you knew of any discussion boards that cover
the same topics discussed here? I’d really like to be a part of group where I can get feed-back from
other knowledgeable individuals that share the same interest.
If you have any suggestions, please let me know. Thanks!
Promotional voucher codes are a often used way to save your cash next time you
go shopping online . See what you can save with an online promo code
It is necessary ffor a payday loan loan provider
to help declaare them selves establishment iin an ‘About Us’ page.
If yoou incurred anny delay iin rrmitting your monthly amortization, the late payment feees for
defaulted payments will have first priority on the subsequent mirtgage
loan ppayment you made after the defaulted payment.
You can sit down discussing with the reeal estate agents and tthe mortgage broker.
Cáspitas! Así se agradecen ver las cosas, gracias!
I was recommended this web site through my cousin. I am not positive whether this submit is written via him as no one else understand such special about my problem.
You are amazing! Thank you!
why men pull away in relationships (http://www.slideshare.net) fact,
you’ll doo anything simply to show that you correct, consisting of ruining your marriage.
Y todo merced a AA tienen un equipo de técnicos de un cerrajero urgente Sitges 24 horas profesional
que aumentan la calidad de sus niveles de servicio.
prev
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
read the article
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
websites
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
click through the up coming webpage
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
hybrid bikes 2014
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
steam iron reviews 2012
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
best toaster oven 2011 consumer reports
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
xbike folding exercise bike
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
you can check here
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
mouse click the up coming internet site
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
El calzado Andrea Confort esta desarrollado con las últimas
tendencias de la moda y cuenta con una extensa variedad de modelos y colores.
You can certainly see your expertise in the article you write.
The world hopes for even more passionate writers such as you who are not afraid to say how they believe.
At all times follow your heart.
http://www.le-vieux-berger.com/bln/nike-roshe-run-boot.html nike roshe run boot
Price: Being available in at a few thousand bucks,
ductless ac heat pump systems could be
pricey to mount.
one-time offer
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
Full File
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
visit the following website
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
Con la bomba en funcionamiento, realice una cloración de choque con 1 tableta de cloro de veloz
disolución 25gr.
Thee press-and-pour wide lids of this electrical
coffee mill make both filling uup and also dispensing easier.
Feel free tto suyrf tto mmy web-site … http://Www.chooseyourcoffeegrinder.com
Also because of this policy, many people think that new home prices will likely go up, small bold speculation Wuxi (real estate) property market is now in wait, adjust the marketing strategy stage Friday ‘Women’s Day’ festival atmosphere will This weekend will be renewed, a number of projects launched caring woman’s activity, the coastal city of Wuxi project details owners community album template size map of the ‘orange’ all a woman’s heart
Pues no represencillas.
Suggested Browsing
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
best video baby monitor 2014
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
誰かが 本質的に 支援 投稿 私がかもしれない状態 を作成します。 これは |私はあなたが頻繁時間非常に最初の最初 ウェブサイトのページと今まで？ I | 分析とびっくりびっくり | この実あなたに行わ作る作成 素晴らしい。 マグニ 活動！
全半额最安値 セール対象商品 http://www.car53.com
ありがとうございます乾杯 …私の心| 近くに近くに それはだことがあるこれは話題です！ 場所を正確にあなたの連絡先の詳細はしかしありますか？
高品質送料無料激安通販 セール対象商品 http://www.banprocesos.com
anchor
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
良いポストおやおや、これは でした。トップ|本当に良い|良い|素晴らしい| 極上記事…しかし、私は物事を先送り 、決して 何かを得るために管理します行わ。
New item 店内全品ポイント10倍 http://www.zdravnitsa.in.ua
感謝 非常に 価値。 ウィル確かシェア|私とサイトサイト 仲間。
送料無料＆高速配送 店内全品ポイント10倍 http://www.deboerburgum.nl/?list194=25012
あなたの取得情報をが、良いトピック|ここで、あなたがしているあなたがいるわからない| 私は私がよ。 以上を理解し、私は学習いくつかの時間を費やす必要があります。 情報私はこれを探していた|私の使命のための情報情報 素晴らしいをありがとう。
超大人気商品 3日間限定 http://www.jschluter.nl/?list175=21242
WOW私があっただけで何の| 検索探し。を検索することによって、ここに来た％のmeta_keyword％
セール対象商品 3日間限定 http://berkum.info/?list189=23957
こんにちは、私が考える私はその| サイト そう ソー気づいはあなたが私を訪れた私はここに来たに戻る 好む 私は？しよう 見つける もの私のウェブサイト！| 高める改善のの十分な 私が想定し、私が思う数のあなたアイデア !!
素晴らしい 情報 ここに。
私はブログかなり頻繁およびI 真剣 感謝あなた 情報内容。 あなたの記事は は本当にいる私の興味をピークに達しました。かつて| の詳細については 、新しいのためにチェックして週週に一度。あなたの|私はのためにオプトインする購読 フィード すぎます。
魅力コンテンツのセクション。アカウントにあなたのブログの記事を楽しんだ| 実際に、実際に | 取得取得私がすることを表明し、アク資本の 私はちょうどあなたにつまずきました。 とにかく 私はよあなたに加入することフィードとも、あなたが一貫してアクセス私成果迅速。
folding exercise bike tablet holder
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
Puede prestar apoyo en la intervención educativa con pupilos no verbales parcialmente verbales.
発行済共有！ 私がしたに| 宿題研究少し| 伝導やっ ちょうど同僚の同僚が同僚上にこれを転送しますこれ。と実際に彼|私買っ注文 ディナー というだけの理由理由彼のためにそれ… LOL。食事| をありがとういただき、ありがとうございます !! ….これを言い換える|だから私ができるように私に聞かせしかし、ええ、ありがとう過ごすための時間 議論するこの問題 |ウェブサイト|ここにあなたのインターネットサイト。
新生活応援 国内即発 http://book-videos.com
のおかげで多くのおかげで多くの感謝、ありがとうございました！ それは | 優れた インターネットサイト ！。
国内即発 新品入荷低価 http://rupreetg.com
うん！最後に|％キーワード1％程度何か誰かが書き込み。
一部予約販売 お買得品も充実 http://petrolog-indah.com
I ことができませんでした |コメントご遠慮レジスト。 非常によく書かれました！
あす楽対応商品多数 店内全品ポイント10倍 http://www.oginoyu.com
If not, it needs to allow for increased reductions-in-force, effectively
saving the same income by maintaining fewer soldiers and mariners?
The particular buyer’s pay in money may also reduce the
financial loan to cost and throw open the options for available cars Pensioners that happen to be permanent locals
of the UK, drawing pension plan every month and having an active looking at bank account can put.
あなたの方法の すべてこのでは、実際には| | |実際には本当にで真に いい、すべて それはの点に注意してください。 、どうもありがとう。
人気満点新作大特集 国内即発 http://www.vivaroromano.com
Highoy energetic post,I liked that a lot. Will therte be a paqrt 2?
http://www.oreetdance.com
Great post. http://www.otavaloempresarial.com
This article is really a pleasant one it helps new thhe web viewers, who are
wishing for blogging. http://www.aasewhitewebdesign.com
What’s up colleagues, how is all, and what you want to say
on the topic of this post, in my view its in fact amazing for me.
Why people still use to read news papers when in this technological globe
everything is existing on net?
Además de apertura de puertas de automóviles, nuestros especialistas de Donostia reparan y alteran llaves con chip integrado y otros componentes de cerrajería
digital, tanto de turismos como de edificios.
La introducción de el contened0r Blendtec Twister” (aquí en Blender Babes nos encanta
la nueva jarra Twister! de C.V. (Grupo HB/PS”), Applica Manufacturing,
S. de R.L. de C.V. (Applica Manufacturing”) y Ray Vac de México, Licuadora Avance collection mil W,funcion prelimpieza, dos,5 l,
orificio XXL, sistema antigoteo, 2 velocidades.
Los precios en China resultarían ser obviamente más
bajos que los observados en un país con una capacidad de producción limitada como
la de Brasil.
Hi to every , because I am truly keen of reading this webpage’s
post to be updated regularly. It carries nice stuff.
In the majority of territories, a lender could seize the mortgaged commercial property if particular problems take place
- principally, non-payment of the mortgage.
He has actually been utilizing the very same strategies as well as has been discovering some good success.
Of course if people were to connect to my website utilizing Shae Baxter
Search Engine Optimization Train,” that would be even better since Google will connect my name with my topic and competence.
うわーためこれは非常に 役立つ偉大 仕事！おめでとうとそれを維持します。
安心の国内発送 商品到着後レビュー記載でプレゼント http://mosquitomagnet-ural.ru
こんにちは！私の誰か Facebookのグループは、この共有|私たちとサイトのウェブサイトを私は に来ました。情報を| 愛する楽しむ私は間違いです。 ブックマークブックマーキングと私の信者にこれをツイートされます私は今！ 例外ブログや素晴らしい デザイン。
お買得品も充実 商品到着後レビュー記載でプレゼント http://www.st-ethelberts.bolton.sch.uk
私が 下る何私が持っているこれに新しい、私はこのつまずい見つかりましたそれ絶対 負荷を私を|それが助け助けました。 ＆| 寄与貢献を与えるに私は願っています 他 顧客そのような|私を助けを支援。 グッド仕事。
商品到着後レビュー記載でプレゼント 国内即発 http://www.bella-italia-todtnau.de
おかげでトン共有するためのこの ニート ウェブページ。
商品到着後レビュー記載でプレゼント 今春の新作が登場 http://fastdsl.cz
、事したがって、いくつかのいずれかが彼の本質的な必要を検索し、彼/彼女が詳細にその利用できるようにするために、そうそのことは、こちらに維持されています。
超おすすめ メール便送料無料 http://warrenpointtownfc.co.uk
将来のためにいくつかの計画を立てるための時間とそれはだ時間幸せになる | それはだそれはあります。この記事を読んで、私は私ができれば| 私がした私が持っている 欲望がする |面白いまたはヒント いくつかのいくつかのあなたを示唆しています。 おそらく、あなたはでしたこの記事を参照して、次の記事を書きます。 それについての事を読んで、私はする願望！
メール便送料無料 通学にも便利 http://www.esther.ie
こんにちはこんにちは私はそうです幸せ私はあなたのブログ、私は本当にグーグルのための何か他のもの、とにかくのため素晴らしいポストとオールラウンドスリリングブログ（私もテーマ/デザインを愛して）楽しま、私は通過読み取りますこれですべての分私は保存持っていることを、また、コメントを追加あなたのRSSフィード、私は時間があるときに、私ははるか仕事|極上| |素晴らしい|優れた|素晴らしい} 仕事より、{素晴らしいを維持ください。
新入荷·数量限定 商品到着後レビュー記載でプレゼント http://joomla.profinvent.com
Way too many individuals send spam reports and also way too many people take part in negative
seo for me to invest too much in abnormal web links in today
times.
But if SEOs spend that very same energy on thrilling the individual (enhancing clicks, reducing the bounce price), they will certainly be able to recognize a dramatically greater influence with their
SEO project.
As Well As if I did purchase links in footers similar to this (which I do not), I wouldn’t be happy there was an e-mail to 1000 search engine optimization firms
telling THEM my clients was buying links.
We have actually located content creation to be
the very best SEO method for us as well as for our customers
hands-down.
We had actually researched Belize City as well as recognized
to get out of there as swiftly as possible - which we did.
EW
Definitely, you will be just an inch closer to your dream
of getting this great abs for yourself. Your genes
will not prevent you from having great abdominal muscles.
Keep reading and we’ll share with you the best exercises you can do to get
rock hard abs that look as if they were made from stone.
LI
terutama smartphone bahwa orang seperti bisa harus anda anda penawaran belajar perkembangan yang sediakan sesuai website sangat yang Online
I’m so happy for this article and thank you for sharing it with us.
こんにちは、ニートポスト。 | 問題問題 | があるありますに インターネットエクスプローラ、かもしれないこの| テストをチェック？ IEはそれにもかかわらずのセクション| | | リーダーと大の成分 人々の|素晴らしい| |素晴らしい|壮大な|に起因する優れた}の書き込み人は {出たままになります。
ノーブランド品 セール対象商品 http://ampulka.org
Unlike various other medicunes eaten, alcohol is transferred directly in the hair.
I truly value your work. Great post.
Fantastic post. Never knew this, thank you for letting
me know.
My brother recommennded I might like thos website. He
was once entirely right. Thiss put up truly made my day.
You cann’t consider just how a lot time I hadd spent ffor
this info! Than you!
play free online casino slot machine games
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
online casino usa no deposit codes
Long-Only Momentum • Systematic Relative Strength • Dorsey Wright Money Management Systematic Relative Strength
Undigested food turns waste matter which, if not expelled, could lead to
health problems.
Hello there, just became alert to your blog through Google, and found that it’s
truly informative. I’m going to watch out for brussels. I
will appreciate if you continue this in future.
Many people will be benefited from your writing. Cheers!
The trend of Waist training initially came to spotlight from the Victorian period however soft after some decades,
just to come back strongly into fashion within the last couple of years.
I enjoy what you guys tend to be up too. Such clever work and reporting!
Keep up the superb works guys I’ve you guys to our blogroll.
Due to to his dedication to his neighborhood and helping these in need (these products were actually designed for skincare issues related to cancer remedies), Dr.
Gibson chose to create the RxGenesys goods open to everybody, even though these products might be offered for significantly more than $400.
I have been exploring for a bit for any high-quality articles or
weblog posts in this kind of area . Exploring in Yahoo I eventually stumbled upon this site.
Studying this information So i am happy to show that
I have a very just right uncanny feeling I came upon just what I needed.
I such a lot unquestionably will make sure to do not forget this website and give it a glance on a continuing basis.
It’s nearly impossible to find experienced people on this subject, however, you seem like you know what you’re talking about!
Thanks