Momentum returns to S&P/ASX 100 constituents

With mixed evidence to date on the performance of momentum strategies in Australia, this paper examines returns to momentum strategies for constituent companies within the S and P/ASX 100, focusing on practical, realisable investment strategies. We find that momentum is both present and obtainable, and has been a persistent feature of the S&P/ASX 100 since its inception, including throughout the global financial crisis.