From Larry Swedroe’s summary of this paper:

  1. Momentum Works Globally The momentum effect appears consistently across international stock markets, with premiums comparable to those in the U.S—there were positive momentum returns in all 31 countries with sufficient data since 1990, with the majority showing statistically significant results.

  2. Momentum Is Multi-Dimensional Perhaps the most innovative finding is that momentum extends far beyond simple price trends. The researchers identified and tested several alternative momentum signals:

• Fundamental momentum: Trends in earnings surprises and analyst recommendations.

• Firm-specific momentum: Returns after controlling for market, size, and value factors.

• Anchor-based momentum: Distance from 52-week highs.

• Network momentum: Trends among connected companies (by industry or analyst coverage).

• Factor momentum: Persistence in factor returns themselves.

Combining these various momentum measures into a multi-dimensional approach improved risk-adjusted returns compared to traditional price momentum alone.

  1. Crash Risk Is Real, But Manageable The research confirms that momentum strategies are exposed to significant crash risk, with maximum drawdowns exceeding 88% during market reversals (particularly in 1929 and 2009).