Conversations with Tyler Cliff Asness on Comics and Why Never to Share a Gym with Cirque du Soleil (Live at Mason)
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Nov 18, 2015 
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Basics of Momentum Investing
- Momentum investing buys recent winners and sells recent losers to achieve excess returns.
- It delivers about 1-3% annualized extra returns but involves significant streaks of underperformance.
Behavioral Roots of Momentum
- Momentum can be explained by behavioral biases like underreaction and overreaction to news.
- These biases cause price trends to persist temporarily before correcting, creating momentum patterns.
Complexity of Risk in Finance
- Risk remains an elusive concept despite complex measures like skewness and co-skewness in finance.
- Momentum suffers rare but severe crashes, which occur during strong markets, adding complexity to risk assessment.