212 Years of Price Momentum

Christopher Geczy, Mikhail Samonov

Research

46 Pages

Geczy explains whether the momentum investing anomaly has persisted across more than two centuries of U.S. market history. Using newly assembled data from 1801 through 1926, the paper finds momentum remained statistically significant, while showing long stretches of underperformance are more common than many investors assume.

Key Takeaways

Momentum Endures: Momentum generated a 0.40% average monthly return (t stat 4.5) across the full 1801 to 2012 sample, including 0.28% monthly before 1927.
Long Drawdowns Matter: The expanded dataset identifies 7 additional negative rolling 10 year momentum periods before 1925, challenging the view that prolonged underperformance is exceptionally rare.
Dynamic Beta Exposure: A dynamically hedged strategy increased average monthly returns from 0.4% to 0.7% across 1801 to 2012 by reducing beta exposure early in new market states.
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