Shhh, don't tell anyone about momentum investing or you will ruin it for those of us who use it
Count me in the Millionaire Mommy camp - 21.9% compounded over the last 5 years - down 11% in January, but bounced about 3% the last few days.
Don't have the inclination to calculate the risk adjusted return but I was about 20% international and 20% small cap. Results are really what matters to me and my results have been far better than I was doing before. Would be interesting to see how it compares to something like a slice and dice approach.
I use a system similar to No Load X called Sound Mind Investing
Sound Mind Investing They have also started mutual funds using the strategy SMIFX and SMIVX (managed volatility)
Actual performance (what really matters) place No load X as the top mutual fund newletter as ranked by Hulbert and Sound Mind was #3 the last time I checked having beaten the S&P 8 years in a row - Take that Bill Miller
Academic studies of persistence are mixed: Google the subject and you will find many links such as:
http://cisdm.som.umass.edu/research/pdffiles/performancepersistence.pdf
The basic concept makes sense to me as an observer of the markets for 20 years. Some styles value, growth, etc. are in favor at different times and the styles persist for a few years. For ex. growth was big in the late 90's and persisted for 3-4 years while people said Warren Buffet was an old fool. Then the crash and value was back in vogue and Buffet was a genius along with a Reit and small cap explosion. I was selling growth funds and buying value and small cap. Of course you miss the actual turning point, but small cap outperformance persisted for several years and I had several funds such as RS Partners that turned in over 100% gains before I sold them. One of the keys is the selling discipline of selling a fund when it drops out of the top quartile.
The costs to me are $9 per month for the newsletter and about 5 $75 trades at Fidelity if I have to sell a fund before 6 months.
I do not see value in individual stock momentum strategies because there is too much stock specific risk vs. mutual funds. Momentum is great for an individual stock until it isn't - then you can drop 40% overnight like CHS, CROX, AAPL last week, etc.