AgPa #37: Momentum Investing – Fact and Fiction
Fact, Fiction, and Momentum Investing (2014)
Clifford Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz
The Journal of Portfolio Management Special 40th Anniversary Issue 2014, 40(5) 75-92, URL/AQR
After examining the general Facts and Fictions about factor investing, this week’s AGNOSTIC Paper examines momentum in more detail. Specifically, the authors combat 10 misleading myths about momentum…
- Myth 1: Momentum returns are economically not meaningful
- Myth 2: Long-only investors cannot capture momentum
- Myth 3: Momentum is much stronger among small-caps
- Myth 4: Momentum does not survive trading costs
- Myth 5: Momentum produces a huge tax bill
- Myth 6: Momentum is better as a screen than as a factor
- Myth 7: Momentum returns should disappear in the future
- Myth 8: Momentum is too volatile to rely on
- Myth 9: Different momentum measures lead to different results
- Myth 10: There is no theory behind momentum