@article {Asness1, author = {Clifford Asness and Andrea Frazzini and Ronen Israel and Tobias Moskowitz}, editor = {Goyal, Gauri}, title = {Practical Applications of Fact, Fiction, and Momentum Investing}, volume = {2}, number = {3}, pages = {1--4}, year = {2015}, doi = {10.3905/pa.2015.2.3.086}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Practical Applications of Fact, Fiction, and Momentum Investing Clifford Asness Andrea Frazzini Ronen Israel Tobias Moskowitz Though momentum investing has been around for a long time, it has endured a number of widely held misconceptions. Some common errors are that it works mainly on the short side, that its returns are small and sporadic, that it is limited to small-cap securities, and that it has trading costs that are too high. But investors need to study the academic literature, apply publicly available empirical data and connect the dots: The momentum premium persists.The authors of Fact, Fiction, and Momentum Investing , from The Journal of Portfolio Management{\textquoteright}s 40th Anniversary Issue , dispel some of the common misconceptions about momentum investing. Read this Practical Applications report for insights into how to best approach momentum investing.}, issn = {2329-0196}, URL = {https://pa.pm-research.com/content/2/3/1.7}, eprint = {https://pa.pm-research.com/content/2/3/1.7.full.pdf}, journal = {Practical Applications} }