Here's the link:
Here is the link to the source:
This work inspired me to run the Size, Value, and Momentum factors through our systems and see what has happened over the past few years.
- All returns are from Ken French's website.
- MOM=L/S Momentum="Momentum factor"
- SMB=L/S Size="Size Factor"
- HML=L/S Value="Value Factor"
- Size and value worked.
- Momentum was working, then fell off a cliff.
- Value got killed in the 2008 debalce
- Momentum got killed in the post 2008 runup
- Momentum: UUUUGGGLLLLYYY!
- Value/size did a fairly good job preserving capital relative to the SP 500
- Market=Mediocre at best.
- Value=Good to go.
- Size=Good to go.
Conclusions:Momentum returns are a lot like Bill Miller's returns: they were on an epic winning streak, but gave almost all the gains back in a short period of time. My hunch is that momentum can still add alpha over the long haul, but the trick is finding a way to capture the alpha, without dying in the short-term. All the short-term volatility is likely due to the fact that momentum is a very crowded trade among quants--every pitchbook I've seen from a quant involves some form of momentum.
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