Momentum (Mom)

⚠ weakened

Momentum· Price data

Past 12-month winners continue to outperform past losers over the next 3–12 months. One of the most robust anomalies across asset classes and geographies, yet also the most crash-prone: the strategy lost ~50% during the 2009 reversal. The premium persists post-publication but at reduced magnitude.

A recomputed, out-of-sample-scored replication of this factor is available — verdict alive, OOS Sharpe 0.38.

Replication leaderboard →Run in Colab ↗

IS Sharpe (1927–1992)

0.631

+6.8% p.a.

OOS Sharpe (1993–2026)

0.376

+5.8% p.a.

Sharpe decay

+40.4%

(IS − OOS) / |IS|

IS vol