The Most Predictive Factor: Momentum

Mebane Faber posts about Richard Tortoriello’s book, Quantitative Strategies for Achieving Alpha.

In the more than 40 single factors he tested from 1987-2006, guess which factor was most predictive?
Momentum.

This isn’t a surprise to me. I think the power of momentum is one of the great mysteries of finance. Why has it been so successful and can it make me money?
Mebane also notes the limitations of quant analysis. Right now, everyone is working from the same data so how can anyone gain an advantage?

Posted by on January 27th, 2009 at 12:37 pm


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