- The momentum anomaly is small and sporadic
- ·It works mostly on the short side
- It works well only among small stocks
- It does not survive trading costs
- It does not work for a taxable investor
- It is best used as a screen rather than as a regular investment factor
- Its returns may not persist
- It is too volatile to rely on
- Different measures of momentum may give different results
- There is no theory or reasonable explanation to support it
9) The authors agree that different measures of momentum can give different results, but they point out that this is true of any strategy. Different measures of momentum giving good results is a sign of robustness and not a cause for concern.
The only problem I have with their paper is that the authors, perhaps keenly aware that risk-adjusted momentum profits from individual stocks have been uninspiring over the past thirty years, repeatedly point out that momentum works best when it is combined with value. Yet we can see in the aforementioned Israel & Moskowitz study that commonly used measures of value hold up only among the smallest stocks thar represent only 10% of total market capitalization, and these are impractical for most investors to hold. Maybe the AQR crew needs to take a closer look at the true value of the emperor's new clothes.