Insights

Momentum Library

The Quick and the Dead

This analysis shows the impact to a momentum-based investment strategy from different rebalancing frequencies. Our research suggests that turning the portfolio often is necessary to harvest the momentum premium consistently through time – thus placing turnover and implementation costs as key considerations in any successful momentum strategy.

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Momentum Crashes: The Long & the Short of It

A consistent pushback against momentum is the strategy’s susceptibility to short, sharp periods of underperformance. In this paper, we analyze some of the worst momentum crashes in history to discover how these periods of underperformance can be nearly fully mitigated.

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Momentum: The Ever Rising Tide

Our research and that of others finds the momentum premium to be robust, persistent through time and pervasive across asset classes. In this paper, we discuss reasons for the momentum premium, as well as how to use a momentum strategy as part of a diversified portfolio.

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Momentum Is Not Growth

Momentum and growth do have positive excess return correlations over time; however, in this paper we describe the ways in which the two styles are inherently different, leading to very different outcomes over time.

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Momentum Is Usually Not Value

Momentum and value tend to be opposites; one outperforming, while the other underperforms. This negative correlation provides strong diversification benefits to investors, along with long-term alpha. While they are much different strategies with different return patterns over the long term, that doesn’t mean that they don’t converge at times.

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Monthly Market Analysis

Global Equity Market Analysis

October 2022

This monthly analysis offers timely insight into current global equity market dynamics. The report provides high-level performance observations by size category and style, as well as depth on the drivers of performance within the MSCI ACWI Index and MSCI ACWI Small Cap Index.

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US Equity Market Analysis

October 2022

This monthly analysis offers timely insight into current US equity market dynamics. The report provides high-level performance observations by size category and style, as well as depth on the drivers of performance with regard to various characteristics and factors.

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Non-US Small Cap Equity Market Analysis

October 2022

This monthly analysis offers timely insight into current Non-US Small Cap equity market dynamics. The report provides high-level performance observations by size category, market and style, as well as depth on the drivers of performance within the small cap equity market.

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Insights

Non-US Small Cap – If Not Now, When?

September 2022

While expectations for public equities have been slashed everywhere in 2022, expectations for equities outside the US have gone from bad to worse. Low prices and depressed valuations point to opportunity for non-US stocks, as not much is needed to go right for them to surprise to the upside and outperform. While we don’t know when the tide will turn, history shows that when markets make a comeback, small cap should lead the way.

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The Opportunity in Micro Cap

May 2022

Our research suggests that a dedicated allocation to US micro cap provides a compelling, complementary exposure for allocators that either have a large cap bias or are looking for additional alpha opportunity. In this paper, we show micro cap stocks have offered higher long-term returns among US equities, diversification benefits, and a fertile ground for active managers to consistently outperform.

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China, Concentration & Cap Bias in Emerging Markets

January 2022

The recent pullback in Chinese stocks driven by Beijing’s regulatory crackdown has highlighted immanent risks for many emerging markets portfolios. In this paper, we demonstrate that asset allocators can enhance their emerging markets allocation by diversifying down the market cap spectrum into small cap, providing access to a differentiated source of returns and exposures.

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Small Cap and Micro Cap Market Dynamics Research

January 2021

This analysis of the US equity universe highlights the investment opportunity in small/micro cap stocks, looking at market dynamics and long-term returns by market capitalization.

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Strength in Numbers: The Case for Global Small Cap Equities

April 2020

In this analysis, we explore the benefits of a dedicated allocation to an actively managed global small cap strategy. We discuss the sheer size of the opportunity set as well as how it differs from large cap. We highlight the magnitude of the alpha opportunity, and conclude with how EAM leverages its expertise to approach global small caps.

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International Small Cap White Paper

January 2019

In this white paper, we seek to demonstrate why we believe there is a tremendous missed opportunity for alpha generation given the characteristics of non-US small cap equity universe. Additionally, we seek to highlight key active management attributes that have historically been successful in navigating these markets.

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