Momentum Factor

Smith1776 · Post by **Smith1776** » 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.

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: (1.08 MiB) Downloaded 2559 times

boglerdude · Post by **boglerdude** » Fri Sep 04, 2020 2:10 am

why cant everyone use it and get rich

Smith1776 · Post by **Smith1776** » Fri Sep 04, 2020 1:18 pm

While it is a factor, it is unfortunately not a free lunch.

boglerdude · Post by **boglerdude** » Sat Sep 05, 2020 12:12 am

It is for the charismatic fund manager

Smith1776 · Post by **Smith1776** » Sat Sep 05, 2020 2:06 am

Uhhhh, okay.

fenns · Post by **fenns** » Tue Sep 15, 2020 5:40 am

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

boglerdude · Post by **boglerdude** » Tue Sep 15, 2020 11:36 pm

Recent thread on AQR

https://www.bogleheads.org/forum/viewto ... ?p=5497456

Momentum Factor

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