Category: Research Momentum Factor

This 2009 paper by Fraulo and Nguyen looks at the debate over whether momentum is a industry or a individual stock dynamic. The jury is still out. At Atlas we use both as a factors.

This 1997 piece by Mark Carhart suggests that funds with high returns last year have higher-than-average expected returns next year, but not in years thereafter. This work has been an important add-on to the Fama and French model, showing momentum to be a key factor contributing to stock outperformance.  It also shows that the investment costs of expense ratios, transaction costs, and load fees all have a direct, negative impact on performance.

This 1993 paper by Narashimhan Jegadeesh and Sheridan Titman documents that momentum strategies, which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past, generate significant positive returns over 3- to 12-month holding periods.

This 2014 paper by Asness, Frazzini, Israel and Moskowitz reviews the academic discovery of momentum investing.  They highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data.