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Data Set

Factor Premia and Factor Timing: A Century of Evidence, Factor Data Monthly

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

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

Momentum strategies have been notable successes in most places researchers have looked.

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

Fact, Fiction and Momentum Investing

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

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

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?

We use seven years of live data to evaluate the implementability of momentum investing.

White Paper

Building a Better Core Equity Portfolio

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

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