Fama-French momentum: absolute and relative returns

The following charts show rolling annual returns for small-cap momentum, both absolute (red) and relative to the S&P 500 (blue).  The upper trace exhibits a stable mean around 20% but annual return is negative every few years and requires fortitude, as with all long term investing.

The lower trace demonstrates that the strategy can underperform the S&P 500 in some years, notably during the tech bubble in the late 1990s.  Since then, annual underperformance has been rare and limited in magnitude.

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