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Wes Gray 🇺🇸
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Marine. Ph.D. Dad x3.
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Happy Veterans Day. Thank you to all who served. Salute!
Was on a podcast with @DKellerCMT and got to thinking about why academics pivoted from the practitioner "relative strength" term, which is very clear on what is going on, and started calling rel strength "momentum." And of course, "momentum" is actually confusing -- trend? rel strength? what are we talking about here?
Fun fact: Jegadeesh & Titman (1993) never use the word momentum in their main text! So the so-called "founders of academic momentum" don't even use the term. (btw Levy wrote the same paper in 1976 ha!)
So when did academics start calling rel Str momentum?
The paper trail points to 1995–97:
• 1995: Grinblatt, Titman & Wermers publish "Momentum Investment Strategies…"
• 1996: Chan, Jegadeesh & Lakonishok publish "Momentum Strategies."
• 1997: Carhart incorporates momentum into his four-factor model.
By 2001, Jegadeesh & Titman called their own follow-up "Profitability of Momentum Strategies."
Fun fact: Jegadeesh & Titman (1993) never use the word momentum in their main text! So the so-called "founders of academic momentum" don't even use the term. (btw Levy wrote the same paper in 1976 ha!)
So when did academics start calling rel Str momentum?
The paper trail points to 1995–97:
• 1995: Grinblatt, Titman & Wermers publish "Momentum Investment Strategies…"
• 1996: Chan, Jegadeesh & Lakonishok publish "Momentum Strategies."
• 1997: Carhart incorporates momentum into his four-factor model.
By 2001, Jegadeesh & Titman called their own follow-up "Profitability of Momentum Strategies."
A wild world!
LAST CHANCE!
Want to exchange your old portfolio for shares of $AAUD? You have one week.
Contributions to the Alpha Architect U.S. Equity ETF 5, ticker AAUD, close next Friday, October 30 at 11:59 PM ET, at which point no more portfolios will be accepted.
If you've been wanting to exit your old portfolio but feel stuck because of the embedded gains, you may be able to exchange your assets for shares in core U.S. equity. Simply contribute your appreciated holdings to AAUD today.
AAUD seeks to deliver plain U.S. large blend exposure with a strategic dividend management overlay for a 0.09% total annual fund expense.¹
This is your last chance! If you'd like to participate, or are interested in learning more, email info@alphaarchitect.com
To learn more about AAUD head to: funds.alphaarchitect.com/aaud_prelaunch
¹Acquired Fund Fees and Expenses (AFFE) currently stand at 0.00%, but final contributed assets may add to the number upon launch. AAUD's management fee and total annual fund operating expenses are 0.0945%.
Want to exchange your old portfolio for shares of $AAUD? You have one week.
Contributions to the Alpha Architect U.S. Equity ETF 5, ticker AAUD, close next Friday, October 30 at 11:59 PM ET, at which point no more portfolios will be accepted.
If you've been wanting to exit your old portfolio but feel stuck because of the embedded gains, you may be able to exchange your assets for shares in core U.S. equity. Simply contribute your appreciated holdings to AAUD today.
AAUD seeks to deliver plain U.S. large blend exposure with a strategic dividend management overlay for a 0.09% total annual fund expense.¹
This is your last chance! If you'd like to participate, or are interested in learning more, email info@alphaarchitect.com
To learn more about AAUD head to: funds.alphaarchitect.com/aaud_prelaunch
¹Acquired Fund Fees and Expenses (AFFE) currently stand at 0.00%, but final contributed assets may add to the number upon launch. AAUD's management fee and total annual fund operating expenses are 0.0945%.