The recent series analyzed Factor Dual Momentum. US Value and Momentum factor portfolios were tested back to 1950, courtesy of Ken French’s data library.
Portfolios are ranked on 12 month return. Using VBR and PDP for value and momentum, the current picture looks like this:
The strategy should be invested in PDP as relative 12 month returns are higher and absolute returns are greater than zero.
PLEA FOR DATA:
I wish to re-run the analysis with a low volatility portfolio, back to at least 1980. This data was on betaarbitrage.com which has now disappeared. Chris Asness’ site has factors but not portfolios. If anyone can help, please let me know in the comments.