Vanguard has an advertisement that says
"Simple truth: performance chasing is a losing investment strategy"
Apparently they are too lazy to test their statements before making them, as the following paper on style momentum shows:
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76815Using Style Index Momentum to Generate AlphaSamuel L. Tibbs East Carolina University - Department of Finance Stanley G. Eakins East Carolina University - College of Business William DeShurko401 Advisor, LLC Journal of Technical Analysis, Forthcoming Abstract: Russell style indexes exhibit significant momentum, particularly after medium term out- and underperformance. The existence of this momentum produces a diversified, index-based low-cost means to exploit momentum by incorporating relative style index performance into tactical allocation strategies. Such style index momentum trading strategies have outperformed on both a raw and risk-adjusted return basis, with the long minus short portfolio generating an average 9.25% annual return over the 34-year period analyzed. Although the excess returns vary, they are robust through time and after controlling for potentially confounding effects. Additionally, the returns are not driven by any single style index and portfolio reconstruction is, on average, required every six months. Keywords: Momentum, Style Investing JEL Classifications: G14
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