Consequently, Asness argues, "the after-transactions-costs, risk-adjusted return of value plus momentum is far and away better than momentum alone." He also argues that using both approaches is "far better than just value."
Sheridan Titman, one of the original researchers to document the momentum phenomenon, sides with Asness in defending the research documenting the strategy as profitable. Simulated trading doesn't resemble real-life experiences. "You have to have people who know how to trade," Titman says. "If you blindly buy at the end of the day in the market, as we do in simulated strategies, it won't work out."