Momentum Factor
Posted: Thu Sep 03, 2020 2:30 pm
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.
Highly recommended!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...