Daily Archives: Dec 8, 2017 at 09:31 am EST

Research Review | 8 December 2017 | Momentum Investing

Implementing Momentum: What Have We Learned?
Adrienne Ross (AQR Capital Management), et al.
December 2017
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.
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Macro Briefing: 8 December 2017

UK and EU announce breakthrough in Brexit negotiations: Reuters
Congress sends bill to Trump to avert gov’t shutdown: Bloomberg
China’s export growth beats expectations in November: RTT
IMF: rising bank debt poses “large risks” to China’s economy: BBC
Jobless claims in US fall for third week: Reuters
US job cuts jump 30% in Nov vs. year-earlier level: CG&C
Consumer credit for US rises in Oct by most in 11 months: MarketWatch
Wildfires rage across Southern California: Bloomberg