The authors build portfolios of stocks that are characterized by both value and momentum factors and determine they outperform. The thought is that value and momentum factors are opposing (i.e., momentum is typically associated with growth rather than value stocks). By selecting stocks with both attributes, they form portfolios with components that are less correlated; and in addition, they buy cheap stocks when they are on the rise, which may be a more appropriate time to buy them than when they are falling.
Bird, R., & Whitaker, J. (2004). The performance of value and
momentum investment portfolios: Recent experience in the major European
markets Part 2. Journal of Asset Management, 5(3), 157–175.
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