You should ask Warren Buffett about this. He never "reversed" and got filthy rich. He was very very very lucky, because what he did and does is completely opposite of whta the oracle of Palm Beach tells. Clash of the giants. But Buffett has of course not the authority that Marketsurfer has.
@Butterball: Come on now. You are not being fair to us (us: 'cos I had an epiphany last night, and have decided to become a self appointed "guard" to protect brother @marketsurfer from vicious attacks from people who's arguments have logical merit). Those papers have words like 'Factor models', 'confidence interval' etc. The only 'models' we know are those who walk the catwalk; and, the only 'factor' that matter to us when it comes to 'models' are their attractiveness! Please don't confuse us with words that don't belong together. @marketsurfer: Don't worry buddy I have you covered!
Not true. He had a good start thanks to the insurance business. GEICO represents less than 10% of all profits. Watch the stocks he bought, when he bought them and where they are now. That reality will destroy your theory completely. I have data about all this but why do an effort to show it. You will always have any excuse to deny the reality. So better not waste that time. Watch what the S&p did over the last decades. I think trend was better than reverse. Unless you put this chart upside down. You know what value represents the S&P?
@i am nobody: Please don't mock us (as to reason for 'us' i.e., brother @marketsurfer and me, see my earlier post addressed to @Butterball). We of course know how to read a chart. The values of S&P are 1963, 1978, 1988, etc. What doesn't make sense is the Y-axis. Please stop confusing us. What is wrong with you people today?
hmmmm, did you look at the date of Jegadessh's paper? it was published in 2001 right before the tech crash, basically, the paper is ancient in market time. How about recent works from the "millions" reaching the same conclusions.? We did studies using the world's largest data base of U.S. equity trades when I worked with CG3--- over short term time frames, the opposite proved true. the results are published in how markets really work by larry connors. Certainly momentum works sometimes-- but the problem is, you never know when that sometimes is--hence there is no edge to the strategy in the indexes. surf
Yes, unclear why he posted the 2001 (!) paper. Maybe he doesn't know J&T updated their work in 2011: ... Figure 1 also reveals that momentum profits in the five year period starting in 2004 were negative...
Yea, @Butterball, look at that date. While you are at it, look at the date of merton-black-scholes paper too! That paper is ancient in market time. That work is invalid too! Awesome rebuttal brother Surf.