Value & Momentum A Powerful Combo
Two of the most powerful explanatory factors in finance are value and momentum. Research on both has been published for more than 20 years. However, it was not until recently that the two have been studied in combination and across markets.
The study “Value and Momentum Everywhere” by Clifford Asness, Tobias Moskowitz and Lasse Pedersen, which appeared in the June 2013 issue of The Journal of Finance, examined the value and momentum factors across eight markets and asset classes (individual stocks in the United States, the U.K., continental Europe and Japan, as well as country equity index futures, government bonds, currencies and commodity futures). Following is a summary of their findings:
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