Fama-French momentum: segmented performance and recessions

The Ken French data library contains a dataset of US stocks segmented 6 ways: small / big and lo / med / hi momentum (defined as 12 month price change).  Plotting 40 years of data and overlaying the St. Louis Fed recession model:

Capture

Points of note:

  • Small-cap hi-momentum out-performance is consistent (green line, 22% CAR since 1975).
  • Tracking recessions allows some large drops to be anticipated (1991, 2008) but not 1987 or 1998.
  • Price recovery following large drops is rapid.
  • There are ETFs tracking small-cap-hi-momentum (green line) [DWAS] and all-cap-hi-momentum (green and orange) [PDP].
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4 thoughts on “Fama-French momentum: segmented performance and recessions

  1. Pingback: Dorsey Wright ETF [DSAS] head to head with Fama-French momentum | RRSP Strategy

  2. Pingback: Fama-French momentum: adding momentum filter | RRSP Strategy

  3. Pingback: Small-cap momentum: S&P 600 analysis | RRSP Strategy

  4. Pingback: Dorsey Wright momentum ETFs: simple filter to improve performance | RRSP Strategy

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