Any outperformance of momentum strategies may be 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.
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CFTC RULE 4.41
Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
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