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We can add a momentum factor to the Fama-French so that it becomes a four-factor model. This momentum factor is denoted by WML(i.e., past winners minus past losers) or UMD (i.e., stocks that have gone up minus stocks that have gone down).》》》2021年新版FRM一二级内部资料免 费领取！【精华版】

At least with respect to the historical window analyzed, which is the long period from January 1965 to December 2011, which of the following statements is TRUE about the momentum factor?

A) Momentum is a negative feedback strategy which is inherently stabilizing 》》》点我咨询21年FRM备考技巧 

B) The momentum factor is observed in equities but is NOT observed in bonds, commodities and real estate

C) Momentum investing by definition is an anti-value strategy; correlations between HML and WML are strongly negative

D) The cumulated profits on momentum strategies have been an order of magnitude larger than cumulated profits on either size or value

答案：D

解 析 ：The cumulated profits on momentum strategies have been an order of magnitude larger than cumulated profits on either size or value.

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