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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.

Perspective

Fama on Momentum

Statements that cast doubt on the implementability of momentum investing are just not close to being true. Looking at the numbers, we seek to disprove a whole gaggle of the misperceptions here.

Journal Article

The Interaction of Value and Momentum Strategies

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

Data Set

Value and Momentum Everywhere: Portfolios, Monthly

We have updated our data set for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.

Data Set

Value and Momentum Everywhere: Factors, Monthly

We have updated and extended the data set for the paper, “Value and Momentum Everywhere.” Our research shows consistent value and momentum return premia in eight diverse markets and asset classes, and a common factor structure among their returns.

Journal Article

Do Industries Explain Momentum?

The ability to outperform buy-and-hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as "individual stock momentum," remains one of the most puzzling of these anomalies, both because of its magnitude (up to 12 percent abnormal return per dollar long on a self-financing strategy per year) and because of the peculiar horizon pattern that it seems to follow: Trading based on individual stock momentum appears to be a poor strategy when using a short historical horizon for portfolio formation (especially less than one month); it is highly profitable at intermediate horizons (up to 24 months, although it is strongest in the 6- to 12-month range); and is again a poor strategy at longer horizons. This paper largely focuses on the positive persistence in stock returns (or momentum effect) over intermediate investment horizons (6 to 12 months) and explores various explanations for its existence.

Data Set

AQR Momentum Indices, Monthly

We have developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. We have included monthly data for our three momentum indices here.

Data Set

Value and Momentum Everywhere: Original Paper Data

This is the original data set used for our paper “Value and Momentum Everywhere,” in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns.

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.

Journal Article

Pronounced Momentum Patterns Ahead of Major Events

Many financial asset measures exhibit a weak continuation tendency.