Thus, despite the failure of factor models to explain the persistence of momentum returns at the turn - of - the - year, actual trading does not award abnormal profits. (papers.ssrn.com)
Earnings leader technology has been a large driver of momentum returns, yet other cyclical sectors in developed markets have also played a major role. (blackrockblog.com)
From 1990 to the end of the financial crisis, monthly changes in volatility explained approximately 30 % of the monthly variation in momentum returns, with momentum more likely to post negative returns when volatility is rising. (blackrockblog.com)