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Perspective

A Comment on Cochrane's Recent Blog Post

Even the guys we admire pick on momentum! Here are some of Cliff's quick thoughts to John Cochrane's post on the topic, included in the comments section of his blog.

Data Set

AQR Momentum Indices, Monthly

We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.

Data Set

Value and Momentum Everywhere: Original Paper Data

This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.

Data Set

How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly

This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.

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.

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.

Working Paper

The Power of Past Stock Returns to Explain Future Stock Returns

We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.

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.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Journal Article

Pronounced Momentum Patterns Ahead of Major Events

Many financial asset measures exhibit a weak continuation tendency.