Dear All,

Does any of you know some sources to build a equity momentum strategy (i.e. buy 10 top performers and selling bottom 10) in Python? Or building the replica of MSCI World Momentum index?

Thanks,
Regards
Dragos

Hi Hansi, I'm familiar with the concept and several risk models in the market such as Barra and Aladdin. I was thinking whether there is a thread with a more indebt analysis on exploiting the market inefficiency on this factors or a review of academic literature on results. My aim is to check whethe...

Dear All, I'm not active on the forum (I hope to become one pretty soon). I'm looking for references on research on Factor investing mostly on Value, Reversal and Momentum. How are they actually computed, backtesting, literature... Are any topics open on this? Can you please help? Thanks, Regards, D...

Thanks guys!It is clear.Happy Christmas!

Hi daveangel,It is right. But I want to end up to this only from my monthly relative returns, not from subtracting the BM return from the fund return. Am I missing something?

What is the rationale behind? Why is this happening?Thanks,

It doesn't work. Doing your method is the same as my method of indexing the return for each period and compute the product in the end. I replicate your methodology on the data below and there is still 58 bps difference.

<t>Hi All,I don't know how to chain relative returns. I have the following monthly returns for the Fund and the BM. I index them and then I use the product to see the overall return for the Fund and BM. I want to end up with the same yearly relative return, but only coming from the monthly relative ...

<t>Thanks for the explanation. I managed to understand the dynamics. However, I don't understand where the difference can appear between a model factor as explained by you and price series model. My expectation was that the idiosyncratic risk will have an impact on over/underestimating the risk comp...

<t>Hi All,This is my first post here :)I'm using a time-series model to estimate the risk of an European equity portfolio, and recently I noticed that other factor models started to diverge from my model. Therefore I started to look at the factor models and there is one piece that I miss.Looking at ...