Value and Momentum Everywhere

AQR

Tobias Moskowitz, Clifford Asness

Research

72Value and Momentum Everywhere Pages

This paper examines value and momentum strategies across eight markets and asset classes, asking whether these familiar effects share common global drivers. The authors find both premia broadly persistent, yet negatively correlated, suggesting their combination may diversify risk while challenging equity focused explanations.

Key Takeaways

Diversification Across Styles: Value and momentum correlations average about negative 0.60 across stock markets and negative 0.54 across nonstock asset classes.
Global Factors Emerge:Global Factors Emerge: The first principal component explains 53.6% of covariance among global equity strategies and 22.7% across all asset classes.
Bond Measures Matter: Combining three bond value measures produces Sharpe ratios of 0.91 to 1.10, versus 0.18 using the paper’s simpler measure.
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