Implementing Momentum: What Have We Learned?

24 Pages Posted: 11 Dec 2017

See all articles by Adrienne Ross

Adrienne Ross

AQR Capital Management, LLC

Tobias J. Moskowitz

Yale University, Yale SOM; AQR Capital; National Bureau of Economic Research (NBER)

Ronen Israel

AQR Capital Management, LLC

Laura Serban

AQR Capital Management

Date Written: December 1, 2017

Abstract

An abundance of academic evidence and theory exists on the efficacy and intuition behind momentum investing, yet a limited number of studies discuss the feasibility of running momentum portfolios in practice. And no study to date has directly analyzed implementation costs for a live momentum portfolio.

As a result, many are still quick to dismiss momentum as difficult or costly to implement because of its high turnover. In this paper, we use seven years of live data to evaluate the implementability of momentum investing. We show that live momentum portfolios are capable of capturing the momentum premium, even after accounting for expenses, estimated trading costs, taxes, and other frictions associated with real-life portfolios.

Keywords: Factors, styles, implementation, trading costs, taxes, momentum

Suggested Citation

Ross, Adrienne and Moskowitz, Tobias J. and Israel, Ronen and Serban, Laura, Implementing Momentum: What Have We Learned? (December 1, 2017). Available at SSRN: https://ssrn.com/abstract=3081165 or http://dx.doi.org/10.2139/ssrn.3081165

Adrienne Ross (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Tobias J. Moskowitz

Yale University, Yale SOM ( email )

New Haven, CT 06520
United States

HOME PAGE: http://som.yale.edu/tobias-j-moskowitz

AQR Capital ( email )

Greenwich, CT
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Ronen Israel

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Laura Serban

AQR Capital Management ( email )

Greenwich, CT
United States

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