Momentum Strategies and Portfolio Construction in the U.S. Equity Markets

I successfully replicate the findings of Asness, Moskowitz, and Pedersen (2013) that momentum strategies in zero cost, long-short neutral portfolios are profitable. I expand on their work in three ways: First, I find that profits are much higher when momentum portfolios are constructed using only top and bottom decile performers rather than top and bottom half performers. Second, I find that 6-month return signals are much less profitable than 12-month return signals. Finally, I find the returns of momentum portfolios outperform the returns of the S&P 500 when accounting for monthly borrowing costs.