Capacity
“A 1 percentage point increase in gross momentum exposure as a percentage of market capitalization corresponds with a permanent 1.1 percentage point decline in future annual momentum returns.”
AssetEquities
StrategyMomentumshort-term reversal
FrequencyAnnual
Sample window1980–2010
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Factor Momentum and the Momentum Factor: Evidence from Emerging Markets by Foye | 2026 | ||||
| Heterogeneity in Overnight-versus-Intraday Stock-Return Behavior with Asymmetric Information and 52-week Price Anchoring by Chen et al. | 2026 | ||||
| Hysteresis Rebalancing in Cross-Sectional Momentum: Reducing Boundary Churn and Transaction-Cost Drag in Indian Equities by Pandhe | 2026 | ||||
| Narrative Capital and Asset Prices: Search-Based Attention, Portfolio Returns, and Factor Exposure by Saini | 2026 | ||||
| The Cost of Sector Constraints in Cross-Sectional Momentum: Evidence from the Nifty 500 by Pandhe | 2026 |