Factor Momentum

66 Pages Posted: 12 Feb 2018 Last revised: 5 Feb 2019

See all articles by Robert D. Arnott

Robert D. Arnott

Research Affiliates, LLC

Mark Clements

Research Affiliates, LLC

Vitali Kalesnik

Research Affiliates LLC

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business; National Bureau of Economic Research (NBER)

Date Written: February 1, 2019

Abstract

Past industry returns predict the cross section of industry returns, and this predictability is at its strongest at the one-month horizon (Moskowitz and Grinblatt 1999). We show that the cross section of factor returns shares this property, and that industry momentum stems from factor momentum. Factor momentum is transmitted into the cross section of industry returns via variation in industries' factor loadings. Momentum in industry-neutral factors spans industry momentum; industry momentum is therefore a by-product of factor momentum, not vice versa. Factor momentum is a pervasive property of all factors; we show that factor momentum can be captured by trading almost any set of factors.

Keywords: factor momentum, factor returns, industry momentum

JEL Classification: G1, G14

Suggested Citation

Arnott, Robert D. and Clements, Mark and Kalesnik, Vitali and Linnainmaa, Juhani T., Factor Momentum (February 1, 2019). Available at SSRN: https://ssrn.com/abstract=3116974 or http://dx.doi.org/10.2139/ssrn.3116974

Robert D. Arnott

Research Affiliates, LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8700 (Phone)
949-325-8901 (Fax)

HOME PAGE: http://www.researchaffiliates.com/Our%20Firm/Our%20Team/Pages/Rob-Arnott.aspx

Mark Clements (Contact Author)

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

Vitali Kalesnik

Research Affiliates LLC ( email )

620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8717 (Phone)
949-325-8917 (Fax)

HOME PAGE: http://researchaffiliates.com/index.htm

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business ( email )

Hanover, NH 03755
United States

HOME PAGE: http://www.tuck.dartmouth.edu/faculty/faculty-directory/juhani-linnainmaa

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
1,958
Abstract Views
6,420
rank
7,370
PlumX Metrics