Myth-Busting with Momentum: How to Pursue the Premium
ClearMoney
NOVEMBER 4, 2021
Gerard O’Reilly and Savina Rizova, “ Expected Profitability: A New Dimension of Expected Returns ” (white paper, Dimensional Fund Advisors, June 2013). The securities in the model may differ significantly from those in client accounts. See, for example, the Fama/French US Momentum Factor’s return of –83.16% in 2009.
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