Momentum trading has long been viewed as an investment anomaly capable of generating significant risk-adjusted excess returns. Past research has found that buying a portfolio of winning stocks (those with the highest returns during a formation period) while shorting a portfolio of loser stocks (those with the lowest returns during the formation period) can generate monthly excess returns of approximately 1%. Moreover, prior research also has found that portfolio excess returns generally decrease monotonically from the winner to the loser portfolio.

However, in Where Has the Trend Gone? An Update on Momentum Returns in the U.S. Stock Market, published in the Fall 2017 issue of The Journal of Wealth Management, Steven Dolvin and Bryan Foltice find that momentum’s behavior changed during the financial crisis, when it appeared to reverse. Furthermore, during 2010–2015, the most recent studied period, momentum as a viable investment strategy appears to have diminished significantly.