- Paper Performance Update: July and August Saw an Extraordinary Reversal in Performance
- Is Low Momentum Still the Opportunity it was Two Long Months Ago?
- Conclusion: Low Momentum Firms Still May Offer Tremendous Opportunity
- Exhibits: Low and High Momentum Firms in Long and Short Portfolio
Paper Performance Update: July and August Saw an Extraordinary Reversal in Performance
In the July 2016 whitepaper Pain is the Parent of All Progress, we showed that FCF/EV spreads between low and high momentum firms had rarely been wider. In fact, the spreads at the time of publication had only been wider at the peak of the internet bubble, the 2008 crash, the peak of the low quality rally post that crash and finally, the low quality rally caused by Draghi’s “Whatever it Takes” initiative in 2012. The spread was approaching a two standard deviation event that can be seen in Figure 1 below.
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September 17, 2016 |
| Authors: Matthew Malgari, Nathan Przybylo, Dr. Sanjeev Bhojraj and John Durkin
September 17, 2016
Authors: Matthew Malgari, Nathan Przybylo, Dr. Sanjeev Bhojraj and John Durkin