I studied the universe of the S&P 500, S&P 400 midcaps, Russell 1000 large/mid + the Nasdaq 100. About 1100-1200 stocks.
I used stocks making a 52W high in the last week as a proxy for “Momentum” (highval(5,0,#high) = priceh).
I used stocks making a 52W low in the last week as a proxy for “Value” (lowval(5,0,#low) = priceL).
Most of the time, limiting the universe to Momentum or Value did not add alpha with any consistency vs. the performance of the universe as a whole.
However, Momentum during major tops outperformed (while Value underperformed), and Value out of major and intermediate bottoms outperformed (while Momentum underperformed).
Top periods are defined as the yearlong period into the top date. Bottom periods are defined as the yearlong period after the bottom date. Prices assumed Next Day Close with no slippage. Screens were rebalanced weekly. Performance was judged vs. the equal-weight performance of all 1100-1200 stocks in the universe during the period.
Major Top Dates
August 31, 2000
Momentum outperformed by 49%. Value underperformed by 14%.
October 10, 2007
Momentum outperformed by 7%. Value underperformed by 13%.
Major Bottom Dates
March 12, 2003
Value outperformed by 23%. Momentum underperformed by 22%.
March 9, 2009
Value outperformed by 133%. Momentum underpeformed by 85%.
Intermediate Bottom Dates
October 3, 2011
Value outperformed by 10%. Momentum underpeformed by 20%.
February 11, 2016
Value outperformed by 42%. Momentum underpeformed by 21%
As an aside, since July 28, 2018 Momentum is 3.7% ahead of the universe as a whole while Value is 2.7% behind the universe. If this persists over the next few months . . .