Fund ExplorerIndicesInsightsVideosPricing

Alpha Momentum

Improving the Momentum Factor

Nicolas Rabener
10 min read
13 May 2018

SUMMARY

  • Stocks can be ranked by alpha instead of stock returns
  • Alpha Momentum generates a higher and more consistent performance than Price Momentum
  • Momentum crashes are reduced significantly and risk-return ratios increase

INTRODUCTION

Alpha in finance is shrinking continuously as investors are getting better at analysing returns. When a fund manager beat his benchmark 30 years ago, investors likely attributed this to skill. Today a large portion of the outperformance can be explained by exposure to certain factors like Value or Momentum.

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.