Value and Momentum Everywhere

Source: Asness, C. S., Moskowitz, T. J. & Pedersen, L. H. (2013). Journal of Finance 68(3),

929–985.

TL;DR

Value and momentum are not equity quirks: both earn premia **consistently across eight markets and

asset classes** — individual stocks in the US, UK, Europe and Japan, plus country equity indices,

government bonds, currencies, and commodities. Value and momentum are negatively correlated, so a

combined value-plus-momentum portfolio diversifies beautifully, and both load on common global

factors, including funding-liquidity risk.

A unified, global factor structure: value (cheap minus expensive) and momentum (recent winners minus

losers) appear everywhere, with correlated value strategies across asset classes and correlated

momentum strategies across asset classes — pointing to common drivers rather than asset-specific stories.

Value signal: an asset-class-appropriate cheapness measure (book-to-market for stocks, 5-year

reversal / real yields / spot-relative measures for other classes).

Momentum signal: the past ~12-month return (skipping the most recent month).

Form long-short value and momentum portfolios within each market, then combine; the 50/50

value+momentum mix has a far higher Sharpe than either alone.

Strategy	Result	Source
Value or momentum, single class	Positive but volatile	this paper
Combined value+momentum, global	Much higher Sharpe; value-momentum correlation strongly negative	this paper

The combined factor's strength comes from the negative value-momentum correlation; both also carry

liquidity-risk exposure that partly explains their returns.

Common global risks (notably funding-liquidity risk) plus behavioural underreaction/overreaction.

The negative value-momentum correlation suggests they capture complementary mispricings.

Implementation costs and shorting constraints differ sharply across asset classes.

Both strategies have crash risk; the combination mitigates but does not eliminate it.

Asness, C., Moskowitz, T. & Pedersen, L. (2013) — Value and Momentum Everywhere — Journal of Finance

Fama, E. & French, K. (1992) — The Cross-Section of Expected Stock Returns — Journal of Finance

Jegadeesh, N. & Titman, S. (1993) — Returns to Buying Winners and Selling Losers — Journal of Finance