This comprehensive research study aims to highlight the evolution of momentum investing
research and identify the mature and emerging themes in momentum investing. This study …

For over 30 years, extensive research has found corroborating evidence that past winners
continue to yield higher returns than past losers. This momentum effect is robust across …

Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …

We analytically compare two dominant methodologies for the construction of an ESG factor:
the time-series (ratings used to sort stocks) and cross-sectional (ratings used to weight …

Time series momentum (TSM) refers to the predictability of the past 12-month return on the
next one-month return and is the focus of several recent influential studies. This paper …

We examine 24 global factor premiums across equity, bond, commodity, and currency
markets via replication and out-of-sample evidence between 1800 and 2016. Replication …

Portfolio optimization should provide large benefits for investors, but standard mean–
variance optimization (MVO) works so poorly in practice that optimization is often …

We find a strong link between currency excess returns and the relative strength of the
business cycle. Buying currencies of strong economies and selling currencies of weak …

Abstract Moskowitz, Ooi, and Pedersen (2012) show that time series momentum delivers a
large and significant alpha for a diversified portfolio of international futures contracts. We find …

We are the first to demonstrate the decline in the cross-sectional predictability of country and
industry returns in recent years. We examine 53 anomalies in country and industry indices …