Two Centuries of Multi Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)
Extending price return momentum tests to the longest available histories of global financial asset returns, including country specific sectors and stocks, fixed income, currencies, and commodities, as well as U.S. stocks, we create a 215 year history of multi asset momentum, and we confirm the significance of the momentum premium inside and across asset classes. Consistent with stock level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the return of the asset class in which the momentum portfolio is built. A significant recent rise in pair wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.