Implementation Costs for a Live Momentum Portfolio

The momentum anomaly has been well covered by academics and practitioners. The clear conclusion from this research is that the momentum anomaly is a) real, b) is one of the largest anomalies, and c) is not due to statistical chance. Please see the list of papers below if you wish to dive into this fascinating subject.

In a new paper, Ross et al look at real, live momentum portfolios and conclude that momentum can be captured even after accounting for all expenses and frictions typically associated with real trading.

Suggested reading:

Asness, C., 1997. “The Interaction of Value and Momentum Strategies.” Financial Analysts Journal.

Asness, C., T. Moskowitz, and L. Pedersen, 2013. “Value and Momentum Everywhere.” Journal of Finance, Vol. 68, No. 3, 929-985.

Jegadeesh, N., and S. Titman, 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, 65-91.

Moskowitz, T., and M. Grinblatt, 1999. “Do Industries Explain Momentum?” Journal of Finance, Vol. 54, No. 4, 1249-1290.

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