Friday, June 6, 2014

Dispelling Myths of Momentum | AQR Research Factory

In a recent working paper from the prolific AQR Research Factory, the authors seek to dispel ten common myths of momentum investing.  To their credit, they use the fine data publicly available from Kenneth French and use fairly simple metrics to make compelling arguments against the myths and for the momentum factor.  I replicated most of the calculations in R, and then in a blend of replication, summary, and discussion on process, used rCharts, Gmisc, and slidify to create the following writeup.  I hope others find it useful, and it serves a purpose much greater than a re-creation.

For another very detailed summary of the paper, see the post from Gary Antonacci of Optimal Momentum.



To make sure this gets seen by those who might not read the paper, I will copy the thanks section below.

Thanks specifically:

1 comment:

  1. Nice
    read! Very informative. Did you know that Tata, PepsiCo joint venture mulls
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