The Lazy Man's Momentum Strategy

This is the authors' abstract. We don't add key points for this paper.

Momentum strategies have a long track record of profitability across countries and asset classes. Institutional investors have embraced them long ago, but individual investors find them difficult to implement, at least in part due to the frequent rebalancing these strategies typically require. This article proposes a lazy man’s momentum strategy, based on semi-annual rebalancing and small portfolios. The results reported here show that this lazy strategy beats a passive benchmark (the MSCI World Index), delivering higher return and compounding power, and higher risk-adjusted return, over the last 50+ years.