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Podcast: Excess Returns
Episode: Twin Momentum: Combining Fundamental and Price Momentum Together In One Quantitative Model
Description: The academic research supporting the momentum factor is very strong. But most of that research focuses on the momentum in a stock's price. An interesting research paper written by Dashan Huang looked at the potential to enhance the excess of return of price momentum by also looking at the momentum in a firm's fundamentals. In this episode we discuss this paper and the pros and cons of combining fundamental and price momentum. We also outline the seven variable system the paper uses to calculate fundamental momentum and how it separates out firms who are showing improvements in their businesses.
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