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Journal Article

The Interaction of Value and Momentum Strategies

Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.

White Paper

Explanations for the Momentum Premium

The momentum premium is well-established in the historical data, but there is little consensus for why it exists. We examine two popular theories, risk and behavioral, for momentum and find both are plausible explanations for the premium to persist

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.

White Paper

Building a Better Core Equity Portfolio

We believe that style-based investing represents a better approach to traditional active equity portfolio management, by focusing on sources of excess returns that may be more pervasive and persistent. These factors include value, momentum and profitability.

White Paper

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

White Paper

The Case for Momentum Investing

Although a powerful investment style, momentum was largely unavailable to many investors. The introduction of the AQR Momentum Indices has been a pivotal development in momentum’s acceptance as an investment strategy.

Book

Expected Returns: An Investors Guide to Harvesting Market Rewards

Finance theories have changed dramatically over the past 30 years, away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns.

Book

Expected Returns on Major Asset Classes

Expected returns are arguably the most important input into investment decisions. By broadening the traditional paradigm of expected return estimation, we think investors have the ability achive better-diversified portfolios and more forward-looking analysis.

Perspective

A Comment on Cochrane's Recent Blog Post

Even the guys we admire pick on momentum! Here are some of Cliff's quick thoughts to John Cochrane's post on the topic, included in the comments section of his blog.

Perspective

You Can Have Your Momentum Factor and Eat it Too

Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.