Momentum is one of the oldest and most persistent anomalies in the financial literature. The tendency of positive or negative returns to persist for a time seems like a ridiculously simple predictor, but it works. There’s an ongoing debate about why it works, but the results in numerous tests speak loud and clear. Unlike many (most?) reported sources of alpha, the market-beating and risk-lowering results linked to momentum strategies appear to be immune to arbitrage. Assets dedicated to exploiting this risk factor keep rising, but momentum’s results continue to impress. That’s a high standard, and one that trips up most strategies. Momentum, however, seems to be an exception.