Xây Dựng Hệ Thống Lựa Chọn Cổ Phiếu Dựa Vào Momentum

 Quantitative Momentum, A Practitioner’s Guide to Building a Momentum-Based Stock Selection System. Past prices do predict future expected performance and Momentum is the epitome of a simple strategy Buy Winners. 

Bulls can continue buying, and bears can continue selling, even when there is no direct reason or cause for them to do so, other than the price action itself. So here we see how price changes—independent of fundamentals—can affect future market prices.

We break momentum into two categories to differentiate between the different approaches to measure momentum:

Time-series momentum: Sometimes referred to as absolute momentum, time-series momentum is calculated based on a stock’s own past return, considered independently from the returns of other stocks.

Cross-sectional momentum: Originally referred to as relative strength, before academics developed a more jargon-like term, cross-sectional momentum is a measure of a stock’s performance, relative to other stocks.

GOOD INVESTING IS LIKE GOOD POKER: PICK THE RIGHT TABLE

Behavioral finance hints at a framework for being a successful active investor:

1. Identify market situations where behavioral bias is driving prices from fundamentals (e.g., identify market opportunity).
2. Identify the actions/incentives of the smartest market participants and understand their arbitrage costs.
3. Find situations where mispricing is high and arbitrage costs are high for the majority of arbitrage capital, but the costs are low for an active investor with low arbitrage costs.

One can think of the situation outlined above as analogous to a poker player seeking to find a winnable poker game. And in the context of poker, picking the right table is critical for success:

1. Know the fish at the table (opportunity is high).
2. Know the sharks at the table (opportunity is low).
3. Find a table with a lot of fish and few sharks.

Understanding the Worst Players

All human beings suffer from behavioral bias, and these biases are magnified in stressful situations. After all, we’re only human. We laundry list a plethora of biases that can affect investment decisions

on the financial battlefield:

■ Overconfidence (“I’ve been right before . . . ”)

■ Optimism (“Markets always go up.”)

■ Self-attribution bias (“I called that stock price increase . . . ”)

■ Endowment effect (“I have worked with this manager for 25 years; he has to be good.”)

■ Anchoring (“The market was up 50 percent last year; I think it will return between 45 and 55 percent this year.”)

■ Availability (“You see the terrible results last quarter? This stock is a total dog!”)

■ Framing (“Do you prefer a bond that has a 99 percent chance of paying its promised yield or one with a 1 percent chance of default?”—hint, it’s the same bond.)

The psychology research is clear: humans are flawed decision makers, especially under duress. But even if we identify poor investor behavior, that identification does not necessarily imply that an exploitable market opportunity exists. As discussed previously, other smarter investors will surely be privy to the mispricing situation before we are aware of the opportunity.

They will attempt immediately to exploit the opportunity, eliminating our ability to profitably take advantage of mispricing caused by biased market participants. We want to avoid competition, but to avoid competition we need to understand the competition.

*from: Quantitative Momentum