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Grig
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Posts: 10
Joined: October 21st, 2015, 7:44 pm

Factor investing - Momentum, Reversal, Value

April 10th, 2017, 11:14 am

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,
Dragos
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Re: Factor investing - Momentum, Reversal, Value

April 10th, 2017, 1:50 pm

Start here: 

Move to the references. Move onward from there.
 
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Grig
Topic Author
Posts: 10
Joined: October 21st, 2015, 7:44 pm

Re: Factor investing - Momentum, Reversal, Value

April 10th, 2017, 2:25 pm

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 whether my multi asset trading algo based purely technical analysis and carry can be improved by adding these factors as inputs. As I don't want to reinvent the wheel I thought I can find some useful information here. 
 
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Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Re: Factor investing - Momentum, Reversal, Value

April 10th, 2017, 6:13 pm

I fear that threads like that aren't common on here, most of that stuff people just keep to themselves either because they are profiting from it or are bound to non-disclosure since the IP is their employers.
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