Stats › Long run returns › Momentum

Momentum's Sharpe of 0.53 came with a 96.69% drawdown

Aug 32: -74.36%-74.36%Aug 32Jul 32: -60.98%-60.98%Jul 32Jan 01: -49.19%-49.19%Jan 01Apr 09: -45.52%-45.52%Apr 09Sep 39: -43.83%-43.83%Sep 39Apr 33: -43.14%-43.14%Apr 33Mar 09: -42.28%-42.28%Mar 09Nov 02: -37.04%-37.04%Nov 02Jun 38: -33.36%-33.36%Jun 38Aug 09: -30.54%-30.54%Aug 09

Two of the worst ten are from July and August 1932. Three more are from 2009. Source: Daniel and Moskowitz, Momentum Crashes, NBER working paper 20439.

Momentum buys the stocks that have risen most and sells those that have fallen most. It has the best long run Sharpe ratio of the classic factors and the worst drawdown. Its crashes arrive in violently rising markets, not falling ones.

14.46%Return a year
0.53Sharpe ratio
-74.36%Worst month, Aug 1932
-96.69%Deepest drawdown

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