Factor/Style Investing

Value and Momentum Everywhere: Factors, Monthly

Topics - Factor/Style Investing Value Momentum

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Value and Momentum Everywhere: Factors, Monthly

This data set is related to “Value and Momentum Everywhere” (Asness, Moskowitz and Pedersen, 2012), in which we find consistent value and momentum return premia across eight diverse markets and asset classes, and a common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes.

We construct Value and Momentum Everywhere (VME) factors as zero-cost long/short portfolios for both value and momentum in the eight markets/asset classes. The eight markets and asset classes covered are: individual stocks in the U.S., the U.K., continental Europe and Japan; equity index futures; government bonds; currencies; and commodity futures. There are also three aggregated factors covering stock selection, asset allocation and all assets. This data set is an updated and extended version of the paper data, with VME factor returns starting in January 1972 and updated monthly.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.


The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.


This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.


Past performance is no guarantee of future results.


Certain publications may have been written prior to the author being an employee of AQR.