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Thoughts on Momentum Investing?

What's your view on momentum as a factor? Fama seems to reluctantly accept it, but it looks like one of the more empirically robust investment factors. What say ye?

I am not a big believer in factor investing. What I mean by that is that I don’t think factors are all that identifiable before the fact. So, value investing appeared to work in backtests, but has proven much harder to actually implement.

I generally like the idea of momentum. But IMO all equity funds are momentum funds. They sell bad stocks and rebalance into good stocks. I know that’s not how the traditional factor concept works, but that’s what index funds do. So, indexing basically is momentum IMO.

But yeah, I generally like the idea of momo investing. I’m just not sure it can be executed in a stock picking format.

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