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Data Set

How Do Factor Premia Vary Over Time? A Century of Evidence, Factor Data Monthly

This is the updated data set related to the paper “How Do Factor Premia Vary Over Time? A Century of Evidence,” in which we examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes.

A Unified Framework for Value and Momentum

This paper provides a simple unifying framework for value and momentum effects in asset pricing based on the present value model. Backing out reliable expected returns from the present value model requires valuation ratios that adjust for expected future earnings growth. We show empirically that stock price momentum forecasts future growth, helps to improve value’s forecast for expected returns, and is drowned out when accounting for realized growth.

Working Paper

Understanding Momentum and Reversals

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation.

Working Paper

How Do Factor Premia Vary Over Time? A Century of Evidence

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.

Podcast

Gaining Momentum

AQR co-founder and Managing Principal Cliff Asness and Alpha Architect CEO Wes Gray discuss momentum—what it is and why it works.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Data Set

Value and Momentum Everywhere: Original Paper Data

This is the original data set used for our paper “Value and Momentum Everywhere,” 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.

Working Paper

Implementing Momentum: What Have We Learned?

We use seven years of live data to evaluate the implementability of momentum investing.

Perspective

You Can Have Your Momentum Factor and Eat it Too

Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.

Journal Article

Momentum Crashes

A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.