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June 9, 2014

A Look At Record Profit Margins

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It’s not as if investors didn’t already have enough to worry about in the uneven aftermath of the financial crisis. Now, money pundits are crowing that record profit margins might soon pose a problem in markets. Some of the worries...

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Myths About Momentum: Part I

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Today begins a two-part series on momentum and the myths that surround it. Momentum is the phenomenon that explains how securities, which have performed well relative to peers (winners), on average, continue to outperform, and securities, that have performed relatively...

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Is Momentum Overgrazed?

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My previous post addressed the issue, “Is the stock market overgrazed?” It raised questions about the forward-looking expectations for the beta, size and value premiums that have existed historically. Researcher Claude Erb showed that each of these premiums has been...

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Has The Small-Cap Premium Collapsed?

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Today begins a two-part series exploring premiums, starting with the size premium. With the dramatic outperformance of U.S. small-cap stocks over the past several years, we’ve had many stories in the financial media warning investors about their future performance. Since...

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Finer Points Of Momentum Factor

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Compared with risk factors in investing—such as the market, value or size—momentum has offered investors the highest Sharpe ratio. However, momentum does have a dark side, as it has had some of the worst crashes. The large gains associated with...

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