Dispelling Myths of Momentum | AQR Research Factory

June 6, 2014

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

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,

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