Factor Investing and Momentum as an Anomaly

Momentum is the most academically documented market anomaly that most investors have never deliberately tried to exploit. Its persistence over 100+ years and across every market studied is a standing challenge to the Efficient Market Hypothesis.

Why This Matters

Academic research on momentum dates to Jegadeesh and Titman's 1993 paper, which documented that stocks with the best returns over the past 3–12 months tended to continue outperforming over the subsequent 3–12 months. This anomaly has been confirmed in every major market globally, across different time periods, and across multiple asset classes (equities, bonds, commodities, currencies). It remains statistically significant despite decades of widespread awareness — a fact that itself requires explanation.