Factor/Style Investing
Value and Momentum Everywhere: Original Paper Data
February 27, 2018
Topics - Factor/Style Investing Value Momentum
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.
This is the original data set used by Asness, Moskowitz and Pedersen (2012), with Value and Momentum Everywhere (VME) factors and portfolios from January 1972 through July 2011. We construct zero-cost long/short VME factors and long-only VME portfolios, sorted into tertiles, for both value and momentum in eight markets/asset classes.
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