Daily Archives: Apr 15, 2022 at 07:34 am EDT

Research Review | 15 April 2022 | Risk Factor Premia

A Look Under the Hood of Momentum Funds
Ayelen Banegas and Carlo Rosa (Federal Reserve)
February 2022
Momentum investing has surged over the past few years, with assets growing at three times the rate of conventional funds. Using a comprehensive dataset of US equity funds, this paper examines the economic value of momentum funds. Overall, we find that risk-adjusted returns of momentum funds are, on average, negative, and most of the time series variation of those returns is explained by exposure to the market factor. Furthermore, momentum funds do not improve the performance of investors who already invest in Fama-French factors.

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Macro Briefing: 15 April 2022

* US Secretary of State says UKraine war could last through 2022
* Strategists question bets that Fed will raise target rate to 3%
* China holds military drills around Taiwan as US lawmakers visit
* America’s most popular mortgage rate at 5%–highest in over a decade
* China’s new Covid lockdowns are a risk for global inflation, strategists predict
* Europe’s relationship with China is becoming increasingly tense
* Crypto bosses say regulation for industry turning in their favor
* US consumer sentiment posts surprising rebound in April to 3-month high
* Jobless claims in US rose last week but remain near 50-year low
* US retail sales rose 0.5% in March as inflation continued to sizzle: