Fact, Fiction and Momentum Investing

AQR

Cliff Asness

Research

26 Pages

AQR Capital Management examines momentum investing by challenging ten persistent myths around performance, risk, turnover, and implementation. The paper argues momentum remains robust across markets despite decades of criticism, while also pushing back on claims that crashes, trading costs, or crowding permanently weaken the strategy.

Key Takeaways

Momentum Myths Debunked: The authors directly challenge 10 widely repeated misconceptions surrounding momentum investing using publicly available data and academic research.
Long Term Persistence: More than 20 years after momentum’s academic discovery, the strategy still shows evidence of effectiveness across multiple markets and asset classes.
Implementation Concerns Overstated: The paper argues fears around turnover, crowding, and trading costs have been exaggerated despite momentum’s growing institutional adoption since 1993.
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