Enhancing Returns with Simple Trading Rules

Have you ever wondered if the principles of momentum that drive stock prices can also be applied to investment factors like value, size, and profitability? In this enlightening episode of Papers With Backtest: An Algorithmic Trading Journey, the hosts take a deep dive into the groundbreaking 2019 research paper by Arnott, Clements, Kolesnik, and Linemma, which explores the intriguing concept of factor momentum. The discussion begins with an exploration of traditional stock price momentum, seamlessly transitioning to the question of whether investment factors themselves exhibit similar…