Cliff Asness believes in momentum in stock prices, but does he believe in momentum in investment strategies? His PhD thesis was about momentum in stock prices. Here is how he explains what momentum is:
“Momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months and you beat the market. Unfortunately for the sanity, that seems to be...
