In “Two Ways To Improve The Momentum Strategy”, the authors found that momentum delivered 14.4% annual returns, 4.5% better than the S&P 500. Volatility was high, though.
The authors note “if you never buy the expensive, junk stocks, then the momentum strategy gets much better.”.
Value shares in the top decile, meanwhile, delivered 16.3% annual returns.
Combining momentum and value yielded 18.5% returns, with less volatility.
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