Factor Momentum Everywhere In this article, the authors document robust momentum behavior in a large collection of 65 widely studied characteristic-based equity factors around the globe. They show that, in general, individual factors can be reliably timed based on their own recent performance. A time-series factor momentum portfolio that combines timing strategies of all factors earns an annual Sharpe ratio of 0.84. Factor momentum adds significant incremental performance to investment strategies that employ traditional momentum, industry momentum, value, and other commonly studied factors. The results demonstrate that the momentum phenomenon is driven in large part by persistence in common return factors and not solely by persistence in idiosyncratic stock performance.
%% NOT directly long that one , but good to see JPM turn positive % JAN3-today. I like the way a good trend will many times ignore momentum or even a topping tail candlechart . Same principle downtrending except more chop+ slop many times