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Momentum (risk factor)

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Definition 

The momentum risk factor is designed to buy assets that performed well and sell assets that performed poorly over the past 3 to 12 months.

Related Content 

Publications

Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market
Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

Industry analysis

Factor Investing in Sovereign Bond Markets: A Time-Series Perspective
EDHEC-Risk on Factor Investing in Sovereign Bond Universes

 

 

Related Press Articles 

"EDHEC-RISK INSTITUTE PAPERS PRESENT A COMPLETE ANALYSIS OF THE 2 MOST POPULAR FIXED INCOME FACTORS: VALUE AND MOMENTUM” – MONDOVISIONE (26/11/2019) 

"THE DISCOVERY OF FACTORS IN FIXED INCOME" - ETF STREAM (15/09/2019)

"THE NEW QUANT ARE HIDING IN THE BOND MARKET" - BLOOMBERG (09/07/2019) 

Related terms 
Value (risk factor)
About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

 

About EDHEC Climate Institute

Reflecting EDHEC Business School’s strategic commitment to sustainability and climate finance, the EDHEC-Risk Climate Impact Institute has evolved into the EDHEC Climate Institute (ECI), consolidating the School’s expertise in climate-related financial research and decision-making. ECI’s mission is to support private and public decision-makers in managing climate-related financial risks and leveraging financial tools to transition to a low-emission, climate-resilient economy. The Institute strengthens its recognised expertise in physical and transition risks, with a particular focus on supply chain emissions (Scope 3), consumer choices, and emerging technologies, while continuing to serve as a leading academic reference for long-term investors.

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