No.13401679 ViewReplyOriginalReport
I ran a regression on a small-size momentum portfolio using a six-factor model (Fama-French 5-factor model + the momentum factor) and got a 7.8% annual alpha. (US stock market data, from 1964 to 2020.) Is it really this easy to make money bros? Why aren't more people investing in momentum strategies? Or did I just fuck up?