Somewhere West of London

日期:2012/12/08

The DMS group has a quote that I can't find but goes something like this: "There are substantial drawdowns to be visited upon those who follow the momentum strategy. In 2009, by buying the winners of 2008, and selling the losers, one would lose 75%, in a year when the market went up 20%. Such a 95% differential would be hard to accept. A similar drawdown occurred in 2004."

One would think that such divergences would be enough to curb the enthusiasm. But no, the band plays on, and numerous studies refer to the momentum anomaly as the most glaring and recurring way of achieving alpha that academics and practitioners have found. One imagines the wrath with which such purveyors will receive this rebuke from a poor speculator like myself.