Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time.
This is a big problem for the efficient markets hypothesis, as there’s no coherent risk-based explanation for momentum’s performance. Not only has there been a sizable momentum premium in stocks (larger even than the market beta premium), but its Sharpe ratio has been higher.
Read the rest of the article on ETF.com.