Momentum Factor Investing: Evidence and Evolution

New research published in The Journal of Portfolio Management adds to a growing body of evidence – including our own work – supporting momentum as not simply a market anomaly, but a persistent return driver with important implications for portfolio construction.

In Momentum Factor Investing: Evidence and Evolution, the authors analyze more than 150 years of data and reach conclusions that closely align with our own research and implementation experience:

• Momentum is persistent across regions and market environments, not a recent anomaly or regime-dependent effect
• Multi-dimensional definitions of momentum improve outcomes over simple price trends
• Thoughtful risk management materially reduces crash risk while preserving long-term return potential
• Successful momentum strategies are systematic, not dependent on discretionary timing or episodic exposure
• Momentum complements value and quality, improving diversification and balance across full market cycles

As independent research continues to converge, the conclusion is increasingly clear that momentum should be a long-term component of a balanced portfolio – implemented systematically and integrated strategically.

Excellent summary available here

Full paper available here