This paper finds that individual investors (individually) do not typically have an edge at exploiting relative strength or momentum. 

Is momentum investing a viable strategy for individual investors?

Financial Services Review 15 (2006) 181–197

by Glenn N. Pettengilla, Susan M. Edwardsa, Dennis E. Schmittb

This paper provides inference as to the viability of a momentum investment strategy for individual investors. They compare the investment behavior and performance of a group of individual investors (readers) to a group of professional analysts (pros).

They find that individual investors are more likely to select stocks that have been long-term winners.

They believe their findings suggest the professional analysts are adept, as McKay (2005) suggests, in finding securities with positive momentum remaining. 

They conclude that a momentum strategy is not a viable long-term option for individual investors. A theory: Perhaps professional investors may apply a selective momentum strategy that is based on a number of indicators, including the position of the security in the momentum cycle.

They believe: Individual investors may lack the expertise or the information to success- fully mimic these strategies and instead pursue a momentum strategy that relies more exclusively on observed price increases. Such behavior may result in security selections that have experienced longer-term positive momentum and thus are closer to a reversal.

Whatever the cause, our sample suggests that individual investors are much less successful in applying momentum strategies than professional analysts.

ABSTRACT

Momentum investing is the practice of investing in securities that have substantially outperformed the market in recent periods. This paper examines the stock selections of two groups of investors, professional analysts and individual investors, made in the well-researched dartboard contest con- ducted by the Wall Street Journal. We find that both groups exhibit a strong tendency to select momentum securities, with the individual investors concentrating on securities with extreme momentum. The professional analysts are successful with the momentum strategy but the individual investors are not. We conclude that momentum investing is not a viable strategy for individual investors. 

Source: http://www2.stetson.edu/fsr/abstracts/vol_15_num3_p181.pdf