Since 1994 a simple strategy of going long the market yielded not very much- $100 invested in the S&p 500 index fund in Jan 1994 would give you $145 today. Adjusted for inflation that is a remarkably poor return.
A strategy called momentum- long the past month winner and short the past month loser would give you $372 today.... Naturally, these don't include transactions costs that can be big but it is an interesting observation....At this time there are no REALLY well known risk based explanations for momentum in academia...
I will discuss this more soon
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