Cliff Asness: Fama On Momentum Investing

Cliff Asness: Fama On Momentum Investing

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The long-term success of the momentum factor seems to be a challenge to many observers. People say things like “momentum only works among small stocks” or “momentum only works for going short, not long.” These comments, which appear to be aimed at casting doubt on the implementability of momentum, seem to be spoken about more than written. There’s a reason for that. When you run the numbers, these statements are just not close to true. We’ve disproven a whole gaggle of them here. But, like many misperceptions, once in the zeitgeist they remain hard to kill.

Given this long history battling momentum myths, I have to admit I felt some trepidation when I could sense...