Value and Momentum Factors across Asset Classes
Run value and momentum on the same multi-asset universe and combine them — Asness–Moskowitz–Pedersen ‘everywhere’ as a book.
Definition
Define value (book/price, yield, or long-run reversal) and momentum (12-1) inside each asset class, then across classes. Combine with equal or inverse-vol weights. The point is diversification of two negatively related premia.
Why it matters
Value and momentum fail at different times. A 50/50 of both is the simplest robust GTAA.
Case
2018–20: momentum carried, value did not. 2022: the mix flipped. The combination was the product, not either sleeve’s year.
How to read it
How value is defined per asset class (equities ≠ commodities). Then the combination rule. Do not let one sleeve’s vol eat the book.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Value and Momentum EverywhereAsness, Moskowitz, Pedersen · 2013 · Journal of FinanceValue and momentum across markets.