Track 04Module 3 of 613 sources
Factors: value, momentum, quality and low risk
Know the handful of return patterns with real evidence, how they behave in India, and why they sometimes fail for years.
Key ideas
- Winners keep winning over three to twelve months. Momentum is the most robust anomaly, and it crashes hard when markets turn.
- Value and momentum work across countries and asset classes and are negatively correlated, so they combine well.
- A factor that everyone can explain away is more likely to persist than one that looks like free money.
- Most active funds lag their benchmark after costs. Factor indices offer the same tilts cheaply.
Start hereWatch or read these first. They carry the core idea.
Five Factor Investing with ETFs
Video · Ben Felix · 15:21
The main factors and how to hold them, in fifteen minutes.
Data
NSE Index Factsheets, factor indices included
NSE Indices
Factsheets for Indian momentum, quality, value and low-volatility indices. See how each has done.
How to Find Super Strong Stocks?? 🔍🚀| Relative Strength simplified
Video · SOIC · 45:43
Relative strength applied to Indian stocks.
CoreThe standard references. Work through them once the idea is clear.
Paper
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Jegadeesh, Titman · 1993 · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x
The paper that documented momentum.
Paper
Value and Momentum Everywhere
Asness, Moskowitz, Pedersen · 2013 · The Journal of Finance · doi:10.1111/jofi.12021
Value and momentum in eight markets and asset classes, and why they belong together.
Book
Expected Returns
Antti Ilmanen, Clifford Asness
The most complete book on where returns come from across assets.
Data
Kenneth French Data Library: factor returns
Dartmouth Tuck
The raw factor return data used by every researcher.
Report
Report
SPIVA Scorecards: active funds versus benchmarks, India included
S&P Dow Jones Indices
The scorecard of active funds against benchmarks, with an India edition.
Report
Global Investment Returns Yearbook
UBS
More than a century of returns for stocks, bonds and factors across countries.
Go deeperResearch, primary sources and data for when you want the detail.
Book
Asset Management: A Systematic Approach to Factor Investing
Andrew Ang
Factor investing treated as a theory of risk. Rigorous.
Applied Portfolio Management - Class 7 - Hedge Fund Strategies - How Hedge Funds Invest
Video · Patrick Boyle · 1:13:20
How hedge fund strategies are built.
Applied Portfolio Management
Playlist · Patrick Boyle · 9 videos
A full course on applied portfolio management.
Practice
Compare the five-year returns and worst drawdowns of the Nifty 200 Momentum 30, Nifty 100 Quality 30 and Nifty 50. Note which you could have held through its worst year.
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Where this leads
07.4 · Indian Market StructureScreens and scans: finding stocks worth your timeBuild a short daily routine that surfaces Indian stocks in strong trends with sound setups.08.5 · Risk, Losses and ProcessBuilding and testing a systemWrite rules precise enough to test, test them without fooling yourself, and know when a backtest means nothing.