Axioma: Just How Disappointing Has Momentum Been Recently?

Momentum has taken a beating from observers lately, thanks to the apparent recent breakdown in performance. But this situation is worth a closer look, as there may be a bit more going on here than meets the eye.

Performance of Axioma’s US Medium-Term Momentum factor[1], while disappointing since mid-June after a strong 18-month run, hardly looks disastrous. To be sure, returns have fallen off since early June (Figure 1). And while Sharpe Ratios of daily returns[2] have been negative more

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