Antti Ilmanen, Ronen Israel and Tobias J. Moskowitz of AQR Capital Management studied the period 1990-2011 and found...
The data holds up all over the world and for periods lot longer than that. MOM and carry trade have been well known phenomenons for many decades. The profitability factor is the only new one, with Novy-Marx "discovering" it. MOM also exists not only all around the globe (with if memory serves Japan being the exception) but across asset classes. There's no recency here or fashion.
Users browsing this forum: Baidu [Spider], Bing [Bot], Day9 and 26 guests