Paul Calluzzo, Fabio Moneta, and Selim Topaloglu, authors of the April 2025 study “Momentum at Long Holding Periods” investigated a key aspect of how academic momentum strategies are typically constructed when forming a portfolio.
Thanks for the reply. A couple years (2018) back, Dimensional had a study that found that while the momentum factor was real that funds could not return higher than market returns. They attributed this to high turnover and high fees. Do you think this has changed since this study in any ways? The expense ratios dont seem to be very high, but I am not sure if the cost of the trades within the funds weight on returns.
BTW, using momentum screens actually can lower turnover as you delay buying stocks that have fallen into your eligible universe (unlike index funds which must by when replicating) and delays sales when stocks rising out of eligible universe.
Empirical evidence on MOM which I have written about shows the best approach historically is to diversify across signals, ST, intermediate and LT. So can do that with multiple providers or I use AQR’s fund which uses multiple signals
The research I have read on momentum assumes much higher trading costs then firms like AQR have been able to incur in millions of live trades.
Thanks for the reply. A couple years (2018) back, Dimensional had a study that found that while the momentum factor was real that funds could not return higher than market returns. They attributed this to high turnover and high fees. Do you think this has changed since this study in any ways? The expense ratios dont seem to be very high, but I am not sure if the cost of the trades within the funds weight on returns.
BTW, using momentum screens actually can lower turnover as you delay buying stocks that have fallen into your eligible universe (unlike index funds which must by when replicating) and delays sales when stocks rising out of eligible universe.
There are a handful of momentum ETFs.
Alpha Architect uses a monthly rebalancing.
MTUM uses quarterly. I have read benefits of both.
It has been relatively short horizon, but MTUM has trounced AA. Any thoughts on the preferred method? Any other momentum ETFs you find interesting?
Thanks,
EJ Monk
Empirical evidence on MOM which I have written about shows the best approach historically is to diversify across signals, ST, intermediate and LT. So can do that with multiple providers or I use AQR’s fund which uses multiple signals