Momentum Investing Robustness Over the Long Run

Can investors rely on price/return momentum as an eternal strategy foundation? In their August 2025 paper entitled “Momentum Factor Investing: Evidence and Evolution”, flagged by a subscriber, Bart van Vliet, Guido Baltussen, Sipke Dom and Milan Vidojevic review the evolution of momentum in the literature and examine momentum factor robustness over a long sample period. Their baseline momentum factor portfolio is each month long (short) the fifth, or quintile, of value-weighted or equal-weighted stocks among the top 80% of NYSE market capitalizations with the highest (lowest) price momentum from 12 months to one month ago. Specifically, they:

• Review empirical evidence on traditional price momentum, including foundational papers and key empirical findings.
• Examine the robustness of momentum to rule out data mining and address out-of-sample decay, including international evidence.
• Address the evolution of momentum beyond price-based measures to momentum in earnings and analyst revisions, industries/networks and equity factors.
• Evaluate crash risk and explore crash-avoidance strategy features.
• Discuss economic/sentiment drivers of momentum.

Based on the body of research on momentum starting in 1967 and using data for new empirical analyses spanning 1866-2024 for the U.S. and 1990-2024 for global equity markets, they find that: (more…)