A Friend Asked Me

日期:2014/05/12

A friend asked me what I thought about this article about momentum investing by Cliff Asness.

I read the current interview with Cliff in Forbes as I couldn't download the paper. He manages 100 billion. Can't make money that way other than buying stocks and holding. He likes value. All the studies show that growth beat value the previous 5 years. As for momentum, there are too many years like 2008 where the worst did 85 percentage points better than value. I doubt that Asness uses as is files for their work before 2000 or so, so everything before hand is worthless. He talks about Shiller respectfully who some think is a charlatan, bearish since 1996, that Professor Lo has often brought to bear. I don't believe p/b gives useful result because of the survival bias not taken into account in any of the studies. Asness seems a plodding, well intentioned personage who must talk his book as is appropriate. One wishes there was a way to short the results of his fund versus the market.