Momentum, which uses price, sees a lot more changes day to day, week to week vs. many of the value factors. So a strategy using momentum is naturally going to have a lot more changes as prices consistently change and as stocks come in and out of the high momentum group. Also, with value you want to give cheap stocks the time needed to revert back higher and often times that happens over a longer period of time than say a month or two. As a result of both of these things you tend to have higher turnover in momentum approaches vs. many value investing methods.
@@ExcessReturns Thank you! Keep up the good work! PS:I found Understanding Momentum Scowcroft Sefton Table 1 has a matrix of returns by formation and holding periods, higher returns in the 6-12 formation and 3-12m holding periods. 1m reversal seen in same matrix. Makes sense that value is a lower frequency phenomenon even rebalanced annually turnover typically only ~20%
One of the best interviews I’ve watched. Some very interesting phenomenons
Thank you Greg. Sheridan is super impressive and knowledgeable. He hasn't done many podcasts, so we were happy he was able to join us.
My PhD topic long time ago - thank you
GOAT
Super interesting!
Nice interview
Which city do the 90% of the ideas come from?
Why does mometum require a high annual turnover (%300-400+), unlike value (~20%)?
Momentum, which uses price, sees a lot more changes day to day, week to week vs. many of the value factors. So a strategy using momentum is naturally going to have a lot more changes as prices consistently change and as stocks come in and out of the high momentum group. Also, with value you want to give cheap stocks the time needed to revert back higher and often times that happens over a longer period of time than say a month or two. As a result of both of these things you tend to have higher turnover in momentum approaches vs. many value investing methods.
@@ExcessReturns Thank you! Keep up the good work! PS:I found Understanding Momentum
Scowcroft Sefton Table 1 has a matrix of returns by formation and holding periods, higher returns in the 6-12 formation and 3-12m holding periods. 1m reversal seen in same matrix. Makes sense that value is a lower frequency phenomenon even rebalanced annually turnover typically only ~20%