• Implementation costs and front running make an index replication strategy inadvisable as a means to capture the momentum premium.
  • The pros (proven profitability and robustness) of momentum can swiftly be wiped out by the cons (crashes and crowded trades), making an active implementation dangerous for all but the most skilled managers.
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The Author

Christopher Brightman

Chief Investment Officer, Research Affiliates

Vitali Kalesnik

Director, Head of Equity Research, Research Affiliates


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