In a recent working paper from the prolific AQR Research Factory, the authors seek to dispel ten common myths of momentum investing. To their credit, they use the fine data publicly available from Kenneth French and use fairly simple metrics to make compelling arguments against the myths and for the momentum factor. I replicated most of the calculations in R, and then in a blend of replication, summary, and discussion on process, used rCharts, Gmisc, and slidify to create the following writeup. I hope others find it useful, and it serves a purpose much greater than a re-creation.
For another very detailed summary of the paper, see the post from Gary Antonacci of Optimal Momentum.
To make sure this gets seen by those who might not read the paper, I will copy the thanks section below.
- Kenneth French for his very generous data library
- the AQR research factory for this and all their other research
- Ramnath Vaidyanathan for rCharts and slidify.
- John Kiernander for dimplejs
- Nameless Fixed Income Shop for the original chart.
- Mike Bostock for everything.
- Marcello Palmitessa for the Bootplus framework.
- Google fonts Raleway and Oxygen