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Working Paper

Implementing Momentum: What Have We Learned?

December 26, 2017 - Adrienne Ross Tobias J. Moskowitz Laura Serban

We use seven years of live data to evaluate the implementability of momentum investing.

White Paper

Portfolio Construction Matters: A Simple Example Using Value and Momentum Themes

November 1, 2017 - Shaun Fitzgibbons Peter Hecht Nicholas McQuinn Laura Serban

We compare two portfolio construction approaches, “mix” and “integrate,” and examine some examples to demonstrate how their differences may have important implications for practice.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

June 30, 2016 - Shaun Fitzgibbons Jacques A. Friedman Lukasz Pomorski Laura Serban

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.