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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.

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

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.

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.