Are Value and Momentum Still Everywhere?

Value and momentum have experienced substantial post-publication return decay, while their diversification relationship and the possibility of a temporary quant winter remain consistent with the original factor case.

• Alpha Architect evaluates hypothetical portfolios from July 2013 to July 2026 using AQR and Kenneth French datasets, with 50% value and 50% momentum combinations rebalanced monthly.
• Across equities, bonds, currencies and commodities, the everywhere portfolio’s annualized return fell from 5.58% with a 1.25 Sharpe before publication to 0.48% with a 0.20 Sharpe afterward; the combined portfolio gained 5.40% cumulatively, with momentum up 10.71% and value down 2.62%.
• Global stock selection returns declined from 6.34% annually and a 1.18 Sharpe to 2.11% and a 0.44 Sharpe, while the combination gained 29.87%, driven by momentum’s 60.69% return as value lost 6.95%.
• U.S. long-short factors produced a 14.92% cumulative return together, with momentum up 84.68% and value down 39.99%; the long-only 50/50 portfolio compounded at 12.50% versus 14.24% for the market, with a 27.21% relative maximum drawdown.
• Since 2020, global stock-selection factors had a 0.71 Sharpe, closer to the earlier 1.18, while the average post-publication pairwise correlations were 0.27 for value and 0.33 for momentum; value and momentum remained negatively correlated between -0.43 and -0.67 across the eight asset classes.

Takeaway: The results show severe value weakness and factor-return decay, yet momentum diversification, persistent cross-asset correlations and the recovery in the post-2020 Sharpe leave the risk-premium explanation open; the available samples remain too short to distinguish a temporary slump from permanent decay.