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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.

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.