Is ‘Momentum’ Faltering? Part II

Earlier this week, we took a look at some of the historical evidence on the persistence of the Fama-French momentum factor. Today we’ll examine the momentum premium’s out-of-sample record, as well as its uses in portfolio diversification.

The authors of the 2013 study, “212 Years of Price Momentum,” concluded that the most recent decade-long underperformance of momentum is not unusual, and that the momentum premium shifts with “regime” changes. The study examined the long-term evidence on momentum, merging three known 19th- and early 20th-century data sources into one testable data set from 1800 to 1927.

Read the rest of the article on ETF.com.

 
 

More Information

Contact Us



Heartland Wealth Advisors, L.L.C.
7015 College Boulevard, Suite 750
Overland Park, KS 66211
phone: 913.469.8228
fax: 913.469.8219
 
footer_logos