Macro Analysis /
United Kingdom

GB : Strategy - What’s momentum, anyway?

    Joachim Klement
    Joachim Klement

    Analyst - Strategy, Accounting, and Sustainability (SAS)

    CGS-CIMB
    29 March 2022
    Published by

    Price momentum is one of the strongest anomalies in stock markets. We know momentum strategies create excess returns over the market and these excess returns are . Momentum effects have also been documented and it can be shown that momentum in one asset class creates momentum in another.