Alpha Architect: Is Momentum Losing Steam?

Abstract

The case explores the momentum investment strategy of AlphaArchitect, a boutique asset management firm. The protagonist, Wes Grey the CEO of AlphaArchitect, is preparing a potential client presentation for Lochen Capital, a multi-family office. Lochen has traditionally focused on value-investing and as a result the presentation needs to compare and contrast the two styles. The case introduces students to the simplest of quantitative investing strategies, momentum. Additionally, students explore AlphaArchitect's approach to implementing the theoretical momentum strategy in practice through their ETF product.

Excerpt

Jun. 28, 2021

Alpha Architect: Is Momentum Losing Steam?

I can calculate the motion of heavenly bodies, but not the madness of people.

—Sir Isaac Newton

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Keywords: asset management, investment, quantitative investing, momentum, value, factor investing, style investing, exchange-traded funds, multi-family office