Sharpe ratio

Equity (law)

Stock (firearms)

Financial economics

Factor analysis

Engineering

Political science

Econometrics

Economics

Portfolio

Computer science

Momentum (technical analysis)

Mechanical engineering

The Journal of Portfolio Management

In this article, the authors document robust momentum behavior in a large collection of 65 widely studied characteristic-based equity factors around the globe. They show that, in general, individual factors can be reliably timed based on their own recent performance. A time-series factor momentum portfolio that combines timing strategies of all factors earns an annual Sharpe ratio of 0.84. Factor momentum adds significant incremental performance to investment strategies that employ traditional momentum, industry momentum, value, and other commonly studied factors. The results demonstrate that the momentum phenomenon is driven in large part by persistence in common return factors and not solely by persistence in idiosyncratic stock performance. <b>TOPICS:</b>Equity portfolio management, in portfolio management, statistical methods

Factor Momentum Everywhere