Factor Momentum Everywhere (Investing Paper Overview)

This is an overview of the paper, "Factor Momentum Everywhere" by Gupta and Kelly. The overall concept is to use a lagged monthly return to predict the future monthly return by taking advantage of momentum in a time-series framework. The authors provide a variety of charts showing expected returns, Sharp Ratios, and comparisons to other factor models and methods as well as a comparison to other momentum strategies. The theory is also applied after assumed transactions and to a global market to see how the general concept holds up.

Disclaimer:
This video is for educational purposes only and is NOT investing advice.



Factor Momentum Everywhere
https://papers.ssrn.com/sol3/papers.c...

Time Series Momentum
https://papers.ssrn.com/sol3/papers.c...

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