THE MOST PROFITABLE

@jsfinancials

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JS Financialsjsfinancials.com.au

Institutional-grade quantitative trading education and macroeconomic research by Jackson Semenas.

2 videos

Why it worked

The video leverages a timeless and proven financial strategy, presented in an accessible way with clear on-screen text and a direct call to action, appealing to individuals interested in quantitative trading and investment.

Summary

The video discusses the 'momentum strategy' in finance, highlighting a 1993 paper by Jagadeesh and Titman as the most profitable strategy. It explains that this strategy involves buying stocks that have performed well recently and selling those that have performed poorly, rebalancing monthly. The strategy has been tested across various assets and countries over centuries and is still effective, with many large funds built upon it. The creator, JS Financials, aims to teach this skill.

Structure

1Introduce the most profitable strategy from a 1993 paper
2Explain the 'momentum strategy': buy winners, sell losers, rebalance monthly
3

Original caption

Research papers 🤝 model hypothesis #jsfinancials #quant #trading #quanttrading #quantitativefinance

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Product placement

NVIDIA App: ACTS - its interface is operated to enable shader compilation. Removing it would change what happens in the video. JIGADISH AND TITMAN: APPEARS - authors of a paper. Removing them would not change what happens in the video. The Journal of Finance: APPEARS - journal where the paper was published. Removing it would not change what happens in the video. Wiley: APPEARS - publisher of the journal. Removing it would not change what happens in the video. JSTOR: APPEARS - website where the paper is hosted. Removing it would not change what happens in the video. JS Financials: ACTS - the creator's brand, which teaches trading strategies. Removing it would change what happens in the video.

Call to action

Follow this page because I try to teach the skill

On-screen text

THE MOST PROFITABLE STRATEGY OF THE JOURNAL ARTICLE Profitability of Momentum Strategies: An Evaluation of Alternative Explanations Nerosimhan Jagadeesh and Sheridan Titman The Journal of Finance Vol. 56, No. 2 (Mar. 2001), pp. 699-720 (22 pages) Published By: Wiley https://www.jstor.org/stable/2225579 IS IN A FREE PAPER FROM 1993 ALMOST NOBODY'S READ IT JIGADISH AND TITMAN 1993 STOCKS THAT WENT UP LAST YEAR FOR MONTHS WINNERS SELL THE LOSERS REBALANCE MONTHLY THAT'S THE WHOLE THESIS OF THE PAPER TESTED IN EVERY EVERY COUNTRY TWO CENTURIES OF DATA STILL WORKS FUNDS RUNNING HUNDREDS OF BILLIONS WERE BUILT UPON IT SO WHY HASN'T IT BEEN ARBITRAGED AWAY WAS NEVER THE HARD PART IT CRASHES EVERY DECADE COST KILL THE SORT OF BAD VERSION OF OF THAT MODEL MOST PEOPLE CAN'T A STRATEGY THAT LOSES OFTEN AND SMALL BEFORE IT WINS BIG PUBLIC UM THAT RUN MODELS SIMILAR TO IT THE SKILL ISN'T FOLLOW THIS PAGE BECAUSE I TRY TO TEACH THE SKILL

Transcript

The most profitable strategy of the last 30 years is in a free paper from 1993. Almost nobody's read it. Jagadeesh and Titman, 1993. Stocks that went up last year for months. Winners sell the losers. Rebalance monthly. That's the whole thesis of the paper. Tested in every asset class, every country, two centuries of data. Still works. Funds running hundreds of billions were built upon it. So why hasn't it been arbitraged away? Was never the hard part. It crashes every decade. Cost kill the sort of bad version of that model. Most people can't. A strategy that loses often and small before it wins big. The alpha is public. Um, I know that run models similar to it. The skill isn't. Follow this page because I try to teach the skill.