A recent interview with Professor Eugene Fama represents another sign that much confusion about momentum unfortunately remains. While my faith in Professor Fama is exceptionally high, this is one of the few topics where we fundamentally disagree. While debates and discussions about momentum will undoubtedly continue, in this post I’ve tried to sort out fact from fiction by bringing clarity regarding the facts and interpretations about momentum and debunk some myths along the way.
A recent interview with the economist Tyler Cowen, in which we cover the basics we believe in (value and momentum) and a lot of other topics.
Cliff and his colleagues lay out some basic tenets that they think are often ignored but that they think any market-timing system — or any test of such a system — should follow.
In its normal form the small firm effect is, on a host of dimensions, weak to possibly nonexistent. Once adjusted for quality exposure it is real and spectacular.