The Interaction of Value and Momentum Strategies


Posted: 20 Apr 1998


Researchers have demonstrated convincingly that both "value" and "momentum" strategies have power to predict the cross-section of stock returns. This paper examines whether these strategies are independent or related. Measures of momentum and value are negatively correlated across stocks, yet each is univariately positively related to the cross-section of average stock returns. We examine whether the marginal power of value or momentum differs depending upon the level of the other variable. Value strategies work in general, but are strongest among low momentum (loser) stocks and weakest among high momentum (winner) stocks. The momentum strategy works in general, but is particularly strong among low value (expensive) stocks. We uncover these results despite finding comparable spreads in our value measures among stocks with different levels of momentum, and comparable spread in our momentum measure among stocks with different levels of value. Any explanation for why value and momentum work must also explain the interaction we document.

JEL Classification: G14

Suggested Citation

Asness, Cliff S., The Interaction of Value and Momentum Strategies. FINANCIAL ANALYSTS JOURNAL, Available at SSRN:

Cliff S. Asness (Contact Author)

AQR Capital Management, LLC ( email )

Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3601 (Phone)
203-742-3101 (Fax)


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