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Perspective

You Can Have Your Momentum Factor and Eat it Too

Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.

Perspective

Fama on Momentum

Statements that cast doubt on the implementability of momentum investing are just not close to being true. Looking at the numbers, we seek to disprove a whole gaggle of the misperceptions here.

Journal Article

The Devil in HML's Details

This paper challenges the standard method for measuring “value” used in academic work on factor pricing.

Journal Article

Value and Momentum Everywhere

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Bibliography

Momentum Bibliography

We have compiled a list of books, journal articles and working papers that were helpful in developing our research around momentum strategies.

Journal Article

Pronounced Momentum Patterns Ahead of Major Events

Many financial asset measures exhibit a weak continuation tendency.

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.

Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Journal Article

The Interaction of Value and Momentum Strategies

Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.