Asness (2014) quote on comparing momentum and value within large cap stocks: “Putting it starkly: in-sample, out-of-sample, calculated in Greenwich Connecticut, Chicago, Boston, Palo Alto, Santa Monica, Austin, or in the library with a candlestick, wherever or however you want to look, along any dimension, those who make the claim that momentum fails for large caps, yet being supporters of value investing, are not simply mistaken, they have it backward.”
Charts and quotes taken from "Momentum Works Everywhere" from EAM Investors
The folks form EAM performed one of the greatest comparisons of major factors I have ever seen. They look at momentum, value, growth, quality, and the market and find that momentum is the clear winner across time, geography, and size. It will perform better than any other major factor. Of course, momentum will not do well in every sub-period and may not do well in all markets, but the evidence is very strong as measured by the t-stats and by excess return. Follow momentum even if it is a very simple strategy and simple look-back period. You will do well with this as an adjunct to any strategy.
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