A Look Under the Hood of Momentum Funds

15 Pages Posted: 4 Feb 2022

See all articles by Ayelen Banegas

Ayelen Banegas

Board of Governors of the Federal Reserve System

Carlo Rosa

Federal Reserve Banks - Federal Reserve Bank of New York

Abstract

Momentum investing has surged over the past few years, with assets growing at three times the rate of conventional funds. Using a comprehensive dataset of US equity funds, this paper examines the economic value of momentum funds. Overall, we find that risk-adjusted returns of momentum funds are, on average, negative, and most of the time series variation of those returns is explained by exposure to the market factor. Furthermore, momentum funds do not improve the performance of investors who already invest in Fama-French factors.

Keywords: Momentum, Mutual funds, Fama-French factors

Suggested Citation

Banegas, Ayelen and Rosa, Carlo, A Look Under the Hood of Momentum Funds. Available at SSRN: https://ssrn.com/abstract=4025868 or http://dx.doi.org/10.2139/ssrn.4025868

Ayelen Banegas (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Carlo Rosa

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

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