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Data Set
Factor Premia and Factor Timing: A Century of Evidence, Factor Data Monthly
July 31, 2019
This is the updated data set related to the paper “Factor Premia and Factor Timing: A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.
Journal Article
Momentum Crashes
September 1, 2016
A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.
Journal Article
Momentum in Japan: The Exception That Proves the Rule
January 1, 2011
Momentum strategies have been notable successes in most places researchers have looked.
Journal Article
The Devil in HML's Details
June 1, 2013
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.
Podcast
Gaining Momentum
May 28, 2019
AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray discuss momentum—what it is and why it works.
Working Paper
Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions
February 1, 2009
This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.
Working Paper
Implementing Momentum: What Have We Learned?
December 26, 2017
We use seven years of live data to evaluate the implementability of momentum investing.
White Paper
Building a Better Core Equity Portfolio
May 1, 2013
We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.
White Paper
Explanations for the Momentum Premium
June 1, 2010
The momentum premium is well-established in the historical data, but there is little consensus for why it exists. We examine two popular theories, risk and behavioral, for momentum and find both are plausible explanations for the premium to persist