Featured in the Georgia Association of Public Pension Trustee’s Quarterly Publication in July, 2021.


It is not often that you get to compare investment concepts with a Disney movie, 但当涉及到动量策略时, 我想起了一个灰姑娘的故事. 自1993年学术发现以来, Momentum investing has received little praise from the investing community despite posting impressively consistent outperformance relative to other commonly used factors (e.g.,价值和大小). 摩根士丹利资本国际(MSCI)最近博天堂注册动量的Factor Focus报告就突显了这一点, “在历史的基础上, the momentum factor has been one of the strongest generators of excess returns”¹. With another good year under its belt and increasing levels of asset flows (the largest Momentum ETF by AUM, iShares Edge MSCI美国动量因子ETF, saw a net inflow of over $1 billion in 2020 and has experienced a net increase of almost $8 billion in asset fund flows over the last 5 years), it looks like Momentum has met its Prince Charming and is finally getting the chance to attend the big ball.


最初发现于1993年, the general theory behind Momentum investing is best described by Sir Isaac Newton’s first law of motion: an object at rest stays at rest while an object in motion stays in motion unless acted upon by an external force. 在金融市场的背景下, stocks that have done well recently will continue to do well and stocks that have done poorly will continue to do poorly until a catalyst changes this dynamic. 基于动量的投资哲学具有内在的逻辑性, and – as we will highlight later in this piece – has been proven to provide value. 然而, the theory that stocks which have increased in price will continue to increase because of the recent price action challenges the traditional approach to investing that uses company fundamentals to make investment decisions.


The research published by the Journal of Finance 1993 documented how strategies of buying recent stock winners and selling recent losers generated significantly higher near-term returns than the U.S. 总体市场从1965年到1989年². 尽管现在的市场和1989年的时候大不相同, the argument can be made that the research completed in 1993 is more relevant now than ever. Depicted in Figure 1 is a graph that demonstrates the growth of $100 invested in the S&P 500 Momentum index in 1994 (the first year the index was established) compared to $100 invested into the traditional S&P 500指数. 的年代&P Momentum index measures the securities that were among the 100 best performing securities over the past 12 months and weights these securities based on their market capitalizations.


自1994年以来,S&P 500动量指数的表现优于S&P 500指数的年度基础上超过1.回报率为2%,年化回报率为11.9%比10%.7%由S&P 500指数. 在同一时期内,S&P 500势头指数已达到20.9%比19.S占1%&P 500指数. 尽管动量指数比S&P 500,超过S&在过去的30年里,p500仍然是一个令人印象深刻的壮举. 那么,为什么投资者仍不愿采用基于动量的策略呢?

Unlike a traditional investment process where an investor assesses a company’s fundamentals, 创建一个价格目标, 并做出投资决策, Momentum strategies lack the quantitative rationale that traditional investors rely on. 而不是定量的, 动量效应的原理是投资者行为的结果. 投资者不断地对他们能得到的信息做出反应, leading stock prices to trend in a specific direction for longer periods of time with greater magnitude. 此外, the rapid growth of technology in the last 20 years has led to an unprecedented increase in information and access to markets for all investors. Technology is certainly not going away and advancements are not expected to slow down. 因此, the argument could be made that the overreactions and underreactions of investors will continue to grow, suggesting that the performance of Momentum strategies has even more of a catalyst to outperform in the future.

看看为什么这个策略有效, investors should be aware that Momentum is not a sufficient risk management tool. 如图2所示, Momentum strategies are not protection during steep market corrections like 2000, 2008年和2020年. 这些时期的跟踪记录显示了好坏参半的结果. 在2000年,美国经济增长放缓.S.基于动量策略,以S&P 500动量指数表现弱于S&P 500指数. 然而, the MSCI ACWI Momentum index outperformed the MSCI ACWI index during the same time period. In 2008, these results flip-flopped and in 2020, Momentum strategies outperformed both the S&P 500指数和MSCI ACWI指数.


The key lesson for investors is that while Momentum has been proven to provide value over time, the strategy alone is not a sufficient risk management tool to avoid major bear markets or crashes. 在Balentine, we believe proper risk management can be achieved through the combination of Momentum and Relative Value. A strategy that combines both Relative Value and Momentum is represented by the Balentine GTAA Aggressive strategy in Figure 2. It is important to note that while most investors think of Relative Value as undervalued securities, Balentine measures Relative Value as the valuation of equities relative to fixed income. 如图2所示, the combination of Relative Value and Momentum has allowed our strategies to avoid extended bear markets for the last two decades. 虽然冠状病毒的崩盘不是一个持续的熊市, our Momentum-based strategy put us in the correct asset classes allowing our strategy to outperform.


正如前面所提到的, strategies focused exclusively on security-level Momentum can be more volatile during crashes and could potentially increase the risk profile of the portfolio. Figure 3 shows the annualized gross return of the MSCI ACWI index compared to the MSCI ACWI Momentum index during the Great Financial Crisis. MSCI ACWI动量指数的表现比MSCI ACWI指数低2个百分点.在这17个月的时间里增长了4%, highlighting the potential underperformance of Momentum strategies during bear markets.


Figure 3 also demonstrates the value of using Momentum on an asset class level instead of looking at individual securities. The potential value-add of this approach is illustrated by Balentine’s Equity Momentum performance during the Great Financial Crisis in Figure 3. 虽然在这段时间内下降幅度很大, the Equity Momentum Model was able to outperform the MSCI ACWI Momentum index by almost 2% and provided similar returns the MSCI ACWI index.

This is further illustrated by Balentine’s outperformance during the coronavirus crash in 2020 (Figure 4). The speed of the market decline and recovery during the coronavirus crash made it unique and led to the Momentum index outperforming the MSCI ACWI index during the 3-month period. Balentine’s Equity Momentum Models were able to further capitalize on this phenomenon by outperforming both the MSCI ACWI index and the MSCI ACWI Momentum index.


Implementing Momentum on an asset class-level not only improves performance during crashes, 但也能在整个市场周期内提供价值. The value-add of a Momentum-based strategy implemented on an asset class-level is demonstrated in Figure 5. 这张图说明了巴伦蒂诺的股票动量模型, 哪些是在资产类别级别上实现的, 相对于全球股票基准,我们的投资者是否获得了价值. For an investor looking to benefit from the capabilities of Momentum while also being conscious of volatility, a Momentum-based strategy that is implemented on an asset class level might be the most effective option.



无论投资者选择哪种基于动量的策略, the most important learning outcome from this piece is the realization that Momentum is an effective and well-established investment style that could add value to a portfolio. 我们想给读者留下4个要点:

  1. Momentum has gotten very little respect from investors despite academic research and consistent evidence in the form of returns.
  2. 发现以来, the Momentum factor has identified persistent market inefficiencies at a security and asset class-level within equities.
  3. Combining Momentum with Relative Value gives investors the potential to dampen exposure to sustained bear markets while still having the opportunity to make rotation into segments of the market that are experiencing strong Momentum.
  4. This is what we do at Balentine – we pay attention to academic research and evidence – we have a data driven approach, capitalizing on human behavior with a track record of providing value to investors.

因为你正在考虑今年可能的分配变动, 我们恳请您考虑一种基于动量的策略,以及“如果合适的话”,不要害怕把它添加到投资组合中.






Global Tactical Asset Allocation (GTAA) Aggressive Composite: The Global Tactical Asset Allocation (GTAA) Aggressive Composite utilizes public markets and does not have private capital. This strategy aims to return inflation plus 4% over a rolling 7-year period and invests 100% in global equity. This strategy tactically shifts in and out of asset classes across a global opportunity set. The track record prior to 1/1/2019 represents that of the Global Asset Allocation Aggressive Composite (“GAA Aggressive”), 哪个国家利用公开市场而没有私人资本. GAA Aggressive aimed to return inflation plus 4% over a rolling 7-year period and invests 100% in global equity. 该综合指数将与摩根士丹利资本国际公司(MSCI)的ACWI (Gross)进行比较。. 此组合的最小帐户大小为100,000美元. The Global Tactical Asset Allocation (GTAA) Aggressive Composite was created January 2019.

Balentine LLC (“Balentine”) is a registered investment adviser with United States Securities and Exchange Commission in accordance with the Investment Advisers Act of 1940. 该公司的综合描述的完整清单可根据要求提供.

Balentine claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Balentine has been independently verified for the periods March 1, 2010 through December 31, 2018.

Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. 可根据要求提供验证报告.

结果是基于管理下完全自由支配的账户, 包括那些不在公司的账户. 过去的表现并不代表将来的结果.

美国.S. 美元是用来表示业绩的货币.  Returns are presented gross and net of management fees and include the reinvestment of all income.  使用模型费用1计算净费用绩效.25%,模特费包括所有管理费. The annual composite dispersion presented is an asset-weighted standard deviation calculated for the accounts in the composite the entire year.  评估投资组合的政策, 计算性能, 并准备符合要求的演示文稿. Composite policy requires the temporary removal of any portfolio incurring a client initiated significant cash inflow or outflow of at least 10% of portfolio assets.  Additional information regarding the treatment of significant cash flows is available upon request.

The investment management fee schedule for the composite is tiered at: first $5毫升1.00%,下一个1000万美元0.60%,下一个1000万美元.50%,接下来是2500万美元.35%,接下来是2500万美元.25%,接下来是2500万美元.20%,接下来是1.5亿美元.15%和超过2.5亿美元.10%. Balentine, in its sole discretion, may consider clients below $5mil as follows: $0-$2.5毫升1.25%,再加2美元.5 0.75%. Actual investment advisory fees incurred by clients are negotiable and may vary.


Net-of-fee returns were calculated using the highest fee paid by any client, which is 1.25%. 如果根据实际收取的管理费用提出费用净额回报, 结果会更高.


寻找指导管理您的博天堂注册地址? Balentine is committed to providing the education and advice our clients need to realize their goals.