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Momentum in Emerging Markets 

Reality < Theory

Nicolas Rabener
10 min read
28 Feb 2022

SUMMARY

  • Long-short momentum investing highlights attractive performance in Asia and emerging markets
  • However, realized excess returns are significantly lower than theoretical ones
  • Likely explained by transaction costs

INTRODUCTION

Momentum has been shown to generate attractive excess returns across eight different markets and asset classes by AQR, a quantitative asset manager. Christopher Geczy and Mikhail Samonov demonstrated that it also works across centuries by measuring the price momentum of US stocks between 1801 and 2012. 

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