PT - JOURNAL ARTICLE AU - Clifford Asness AU - Andrea Frazzini AU - Ronen Israel AU - Tobias Moskowitz ED - Goyal, Gauri TI - Practical Applications of Fact, Fiction, and Momentum Investing AID - 10.3905/pa.2015.2.3.086 DP - 2015 Jan 31 TA - Practical Applications PG - 1--4 VI - 2 IP - 3 4099 - https://pm-research.com/content/2/3/1.7.short 4100 - https://pm-research.com/content/2/3/1.7.full AB - 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’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.