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Fact fiction and momentum investing cliff asness house

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So, it's always prudent to use momentum in conjunction with a different strategy. As with myth one, over the long-term momentum returns have been proven to be predictable and recurring. This myth, the authors conclude, seems to stem from highly volatile periods such as and This myth was included in the paper despite the fact that it is true. The notion that different measures can give different results is true with any strategy as there are often several valid ways of measuring the same phenomenon - as there is with value investing.

There are many studies that have been conducted to prove the fact that momentum is a valid strategy, which is able to produce consistent returns. Most of the studies that have been conducted over the years and the data sets used, are included within this momentum myths paper. The full study can be found here. Sign up for our free daily newsletter. ValueWalk 4. By Rupert H Momentum investing is surrounded in myth. Common myths surrounding momentum investing The study looked at ten common myths surrounding momentum investing and uses data from multiple studies, using unrivaled data set to dispel these myths.

The 10 myths are as follows: Momentum returns are too "small and sporadic" The study found that over the period to , using four different momentum strategies, the average positive performance of each momentum strategy was Momentum cannot be captured by long-only investors as "momentum can only be exploited on the short side" To dispel this myth, the study quotes from anther paper, which found that both the long and short side of momentum are equally profitable.

Momentum is much stronger among small-cap stocks than large caps It seems as if this myth is based on a small data sample. Momentum does not survive, or is seriously limited by trading costs Data from a previous paper, Frazzini, Israel and Moskowitz , "FIM," uses trades from a large institutional investor over a long period of time.

Momentum does not work for a taxable investor High turnover does not necessarily equal high taxes. Momentum is best used with screens rather than as a direct factor Frazzini, Israel, Moskowitz and Novy-Marx explore this issue empirically and show that a factor-based approach for momentum is superior to a screen-based approach. One should be particularly worried about momentum's returns disappearing The authors reach an interesting conclusion here, stating that while momentum is a great stand-alone strategy something the paper sets out to prove it should always be used in conjunction with a broader portfolio.

Momentum is too volatile to rely on As with myth one, over the long-term momentum returns have been proven to be predictable and recurring. Different measures of momentum can give different results over a given period This myth was included in the paper despite the fact that it is true.

There is no theory behind momentum There are many studies that have been conducted to prove the fact that momentum is a valid strategy, which is able to produce consistent returns. Sign up for our free daily newsletter Disclosure: None. This article was written by. Group Subscription. Premium Digital access, plus: Convenient access for groups of users Integration with third party platforms and CRM systems Usage based pricing and volume discounts for multiple users Subscription management tools and usage reporting SAML-based single sign-on SSO Dedicated account and customer success teams.

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Using data containing more than a trillion dollars of live trades from to , the conclusion was reached that per dollar trading costs for momentum are quite low, and thus, despite the higher turnover, momentum easily survives transactions costs. High turnover does not necessarily equal high taxes. Momentum survives taxes and has a tax burden roughly equal to or smaller than lower turnover strategies such as value, especially if run optimally. Frazzini, Israel, Moskowitz and Novy-Marx explore this issue empirically and show that a factor-based approach for momentum is superior to a screen-based approach.

The authors reach an interesting conclusion here, stating that while momentum is a great stand-alone strategy something the paper sets out to prove it should always be used in conjunction with a broader portfolio. So, it's always prudent to use momentum in conjunction with a different strategy.

As with myth one, over the long-term momentum returns have been proven to be predictable and recurring. This myth, the authors conclude, seems to stem from highly volatile periods such as and This myth was included in the paper despite the fact that it is true. The notion that different measures can give different results is true with any strategy as there are often several valid ways of measuring the same phenomenon - as there is with value investing.

There are many studies that have been conducted to prove the fact that momentum is a valid strategy, which is able to produce consistent returns. Most of the studies that have been conducted over the years and the data sets used, are included within this momentum myths paper. The full study can be found here. Sign up for our free daily newsletter. ValueWalk 4. By Rupert H Momentum investing is surrounded in myth.

Common myths surrounding momentum investing The study looked at ten common myths surrounding momentum investing and uses data from multiple studies, using unrivaled data set to dispel these myths. The 10 myths are as follows: Momentum returns are too "small and sporadic" The study found that over the period to , using four different momentum strategies, the average positive performance of each momentum strategy was Momentum cannot be captured by long-only investors as "momentum can only be exploited on the short side" To dispel this myth, the study quotes from anther paper, which found that both the long and short side of momentum are equally profitable.

Momentum is much stronger among small-cap stocks than large caps It seems as if this myth is based on a small data sample. Momentum does not survive, or is seriously limited by trading costs Data from a previous paper, Frazzini, Israel and Moskowitz , "FIM," uses trades from a large institutional investor over a long period of time. Momentum does not work for a taxable investor High turnover does not necessarily equal high taxes. Momentum is best used with screens rather than as a direct factor Frazzini, Israel, Moskowitz and Novy-Marx explore this issue empirically and show that a factor-based approach for momentum is superior to a screen-based approach.

One should be particularly worried about momentum's returns disappearing The authors reach an interesting conclusion here, stating that while momentum is a great stand-alone strategy something the paper sets out to prove it should always be used in conjunction with a broader portfolio. Choose your subscription. Trial Try full digital access and see why over 1 million readers subscribe to the FT.

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Quantitative Momentum: A Systematic Process to Identify High Momentum Stocks

We highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and. It's been over 20 years since the academic discovery of momentum investing (Jegadeesh and Titman (), Asness ()), yet much confusion and debate. is managing principal at. AQR Capital Management in Greenwich, CT. [email protected] ANDREA FRAZZINI is a principal at AQR. Capital Management.