No. of Recommendations: 7
The paper uses "all common ordinary US stocks traded on NYSE, AMEX, or NASDAQ", and so mostly applies to nano-caps. The standard Momentum factors (based on all stocks) have flatlined since 2002.
Factor CAGR_A CAGRPREBR_FF-MOM 12.2% 0.3%
AQR-MOM 12.8% 0.8%
AA-MOM 8.1% -0.1%
CAGR_A is from Jan 1992 to Dec 2002
CAGR_B is from Dec 2002 to Dec 2024
data from
portfoliovisualizer.com - Factor statisticsLarge Cap momentum is different. Applying Phigh/Price_1yearago seems unlikely to work, but is easy to backtest.
High P / P1yr is good, because of momentum.
High P / Phigh is good, because it avoids falling knives.
High Phigh / P1yr is good, because the stock had momentum at some point.
