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Rekenthaler Report

The Case for Momentum Investing

AQR defends its turf.

Tough Talk
Published just last week, "Fact, Fiction and Momentum Investing" seeks to put momentum skeptics in their place. It is not shy in doing so. In many instances, state the authors (Clifford Asness, Andrea Frazzini, and Ronen Israel of AQR Capital Management and Tobias Moskowitz of Chicago Booth), their decision to use the term "confusion and debate" about the momentum-investing discussion is "us attempting to be polite, as it is near impossible for informed practitioners and academics to still believe the myths uttered about momentum."

They get scrappier yet on the next page. "Anyone repeating these myths, in any dimension, after reading this piece is simply ignoring the facts." (Taking the boy out of New York is one thing; taking the New York out of the boy is quite another.)

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