The Momentum signal has seen a strong recovery since December 2018, along with general market sentiment which has started a trend after a year of gyrations and rotating market leadership. As such, Price Momentum is still lagging significantly over a 12-month period, but this underperformance can often be quickly recouped during a Momentum recovery.
Earnings Revisions (a sub-component of headline Momentum) displayed some interesting characteristics recently, as the factor showed more cyclicality than expected. Over the previous quarter, this factor rose more than Price Momentum, although this could be due to significant underperformance over Q4 2018. Traditionally, this factor fulfils a defensive role within a broad Momentum strategy.