Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks).

Résumé du livre

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the momentum premium inside and across asset classes. Consistent with stock-level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the state of the asset class in which the momentum portfolio is built. A significant recent rise in pair-wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.