No. of Recommendations: 20
In the last 10 years, Growth has beat Value. And Momentum has not worked. If you are looking for good recent performance (last two years), consider growth metrics (sales growth, R&D, FCF).

I plotted rolling 10 year returns of the Fama French Factors. Both Value and Momentum factors are near all time lows: about 2 standard deviations below average. Meanwhile the market is doing better than usual: about 0.5 standard deviation above average.

Mom is the average return on the two high prior return portfolios minus the average return on the two low prior return portfolios.
Mom = 1/2 (Small High + Big High) - 1/2(Small Low + Big Low).
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_...

Rolling 10 year return multiliers for FF factors. (Flat return is 1.0. Factor returns are market neutral (long/short). Monthly data from 1927 to June 2018.)

         10 yr    10 yr    10 yr    10 yr    10 yr
TR mult TR mult TR mult TR mult TR mult
month Mkt-RF SMB HML RF Mom
201806 2.66 1.24 0.85 1.03 0.65
avg 2.08 1.34 1.59 1.48 2.16
sd 0.99 0.48 0.40 0.41 0.86
min 0.54 0.58 0.74 1.01 0.26
nSD 0.6 -0.2 -1.9 -1.1 -1.7


nSD is (201806 minus avg) / sd

Mom Total Return Multiplier was 1.97 for 10 years from 199904 to 200903.
Mom Total Return Multiplier was 0.97 for 10 years from 199910 to 200909.
Much of this underperformance was due to the month April 2009, when the market neutral Mom was -34%.

month   Mkt-RF   SMB    HML    RF     Mom
199904 4.33 3.97 2.53 0.37 -9.07
199905 -2.46 3.43 2.4 0.34 -5.28
199906 4.77 3.06 -3.59 0.4 4.88
199907 -3.47 2.7 -0.82 0.38 1.59
199908 -1.38 -1.21 -1.38 0.39 2.91
199909 -2.81 3.35 -3.44 0.39 6.48
199910 6.13 -6.89 -2.93 0.39 5.46

200903 8.95 -0.09 3.53 0.02 -11.54
200904 10.19 4.83 5.46 0.01 -34.39
200905 5.21 -2.33 -0.21 0 -12.44
200906 0.43 2.61 -2.71 0.01 5.29
200907 7.72 2.07 5.28 0.01 -5.36
200908 3.33 -0.9 7.76 0.01 -8.83
200909 4.08 2.45 0.92 0.01 -4.93



portfoliovisualizer confirms that Value and Momentum factors had negative returns in the last 10 years.

Factor Returns (Apr 2009 - Feb 2019)
https://www.portfoliovisualizer.com/factor-statistics#analys...

                     Annualized
Factor Return 10 yr mult
Market 15.67% 4.29
Size (FF3) 1.19% 1.13
Size (FF5) 1.25% 1.13
Value -1.14% 0.89
Momentum -3.86% 0.67
Profitability 1.15% 1.12
Investment 0.33% 1.03
Short Term Reversal 2.62% 1.30
Long Term Reversal -2.63% 0.77



Using a momentum strategy used to be expensive, and finding a mutual fund with a high momentum factor loading was difficult. Now it is easy with very low trading costs and many ETFs tracking the strategy.
portfoliovisualizer has a table of over 6000 mutual funds, and over 200 have high momentum factor loading.
2018 was a bad year for momentum ETFs. For example, Invesco DWA SmallCap Momentum ETF DWAS was down 11%.
https://www.portfoliovisualizer.com/etf-and-mutual-fund-fact...
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