“Fact, Fiction, and Momentum Investing”

 The AQR posse (Asness, Frazzini, Israel, and Moskowitz) recently issued a working paper that disproves many often-repeated myths about momentum investing, particularly as it applies to individual stocks. The authors back up their reasoning with results from academic papers and publicly available data. Here are the myths they address:  The momentum anomaly is small and sporadic  ·It…