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Momentum Factor

Posted: Thu Sep 03, 2020 2:30 pm
by Smith1776
I want to share an excellent paper written by Cliff Asness and co. regarding the momentum factor, it's pervasiveness, robustness, and overall implementability. This is from the Journal of Portfolio Management. It's a very insightful paper but also an easy read.


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. The existence of momentum is a well-established empirical fact. The return premium is evident in 212 years (yes, this is not a typo, two hundred and twelve years of data from 1801 to 2012) of U.S. equity data...
Highly recommended!


JPM Fact Fiction and Momentum Investing.pdf
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Re: Momentum Factor

Posted: Fri Sep 04, 2020 2:10 am
by boglerdude
why cant everyone use it and get rich

Re: Momentum Factor

Posted: Fri Sep 04, 2020 1:18 pm
by Smith1776
While it is a factor, it is unfortunately not a free lunch.

Re: Momentum Factor

Posted: Sat Sep 05, 2020 12:12 am
by boglerdude
It is for the charismatic fund manager

Re: Momentum Factor

Posted: Sat Sep 05, 2020 2:06 am
by Smith1776
Uhhhh, okay.

Re: Momentum Factor

Posted: Tue Sep 15, 2020 5:40 am
by fenns
boglerdude wrote: Fri Sep 04, 2020 2:10 am why cant everyone use it and get rich
cos most people are trying other methods to get rich

Re: Momentum Factor

Posted: Tue Sep 15, 2020 11:36 pm
by boglerdude