Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positive in the additional 80-plus years of...

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...

We assemble a monthly dataset of U.S. security prices between 1801 and 1926 and, both in and out of sample, test price-return momentum strategies discovered in the post-1927 data. The pre-1927 momentum profits remain positive and statistically significant. Additional time-series data strengthen...