Value and Momentum Everywhere

AQR

Cliff Asness

Research

72 Pages

AQR examines whether value and momentum strategies work consistently across equities, bonds, currencies, and commodities worldwide. The paper argues these seemingly separate anomalies share common global drivers, with liquidity risk partly explaining why value and momentum often move opposite each other across multiple asset classes.

Key Takeaways

Eight Market Evidence: Value and momentum premia appeared across 8 asset classes, including government bonds, currencies, and commodities, extending anomalies beyond U.S. equities.
Three Factor Structure: A global 3 factor model explained co movement across asset classes and captured returns in both Fama French portfolios and hedge fund indices.
Liquidity Risk Link: Funding liquidity effects strengthened after the 1998 crisis, with momentum positively exposed to liquidity risk while value showed the opposite relationship globally.
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