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.
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