Enhancing Momentum with Multi-lookback Winners/Losers
December 29, 2022 - Momentum Investing
Do stocks that are winners or losers over multiple lookback intervals generate stronger future returns because they attract wider audiences of momentum investors? In their June 2022 paper entitled “Overlapping Momentum Portfolios”, Iván Blanco, Miguel De Jesus and Alvaro Remesal explore this question by comparing performances of three portfolios: MOM (benchmark): long (short) the value-weighted… Keep Reading