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:
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].