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The Journal of Portfolio Management

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Factor Momentum Everywhere

Tarun Gupta and Bryan Kelly
The Journal of Portfolio Management Quantitative Special Issue 2019, 45 (3) 13-36; DOI: https://doi.org/10.3905/jpm.2019.45.3.013
Tarun Gupta
is a managing director at AQR Capital Management LLC in Greenwich, CT
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Bryan Kelly
is a vice president at AQR Capital Management LLC in Greenwich, CT, and professor of finance at Yale School of Management in New Haven, CT
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Abstract

In this article, the authors document robust momentum behavior in a large collection of 65 widely studied characteristic-based equity factors around the globe. They show that, in general, individual factors can be reliably timed based on their own recent performance. A time-series factor momentum portfolio that combines timing strategies of all factors earns an annual Sharpe ratio of 0.84. Factor momentum adds significant incremental performance to investment strategies that employ traditional momentum, industry momentum, value, and other commonly studied factors. The results demonstrate that the momentum phenomenon is driven in large part by persistence in common return factors and not solely by persistence in idiosyncratic stock performance.

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The Journal of Portfolio Management: 45 (3)
The Journal of Portfolio Management
Vol. 45, Issue 3
Quantitative Special Issue 2019
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Factor Momentum Everywhere
Tarun Gupta, Bryan Kelly
The Journal of Portfolio Management Feb 2019, 45 (3) 13-36; DOI: 10.3905/jpm.2019.45.3.013

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Factor Momentum Everywhere
Tarun Gupta, Bryan Kelly
The Journal of Portfolio Management Feb 2019, 45 (3) 13-36; DOI: 10.3905/jpm.2019.45.3.013
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  • Article
    • Abstract
    • FACTOR SAMPLE
    • FACTORS AT A GLANCE
    • FACTOR MOMENTUM
    • PORTFOLIO COMBINATIONS
    • IMPLEMENTABILITY
    • FACTOR MOMENTUM AROUND THE WORLD
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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