It is entirely possible that any outperformance of momentum strategies is due to survivorship bias. I present two examples of simple market anomalies that suddenly disappeared without warning and I claim that this will be the fate of momentum too. I also demonstrate why the performance of a dual momentum strategy is not significant.
GET UPDATES BY EMAIL
Thank you for subscribing.
Something went wrong.
CFTC RULE 4.41
© 2011 – 2019 Michael Harris. All Rights Reserved. We grant a revocable permission to create a hyperlink to this blog subject to certain Terms and Conditions. Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this blog is strictly prohibited without prior written permission.