Blogs / Analysis [Analysis Blog]

Backtesting Value and Momentum Factors

We use Palantir’s Factor Builder and Factor Tester applications to construct and backtest Value and Momentum strategies, in the spirit of Cliff Asness’ 1997 article in the Financial Analysts Journal, “The Interaction Between Value and Momentum Strategies.” Value and Momentum are of interest because they each have power to predict the cross-section of stock returns [...]

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