Subject: Re: Momentum petering out?
I would call it a shift in WWL...

As an aside, I once had a look at the recent relative performance of 13- and 26-week momentum strategies to look at persistence...depending on which one worked better recently, what did it say about which one was likely to work better next?

Rather to my surprise, whichever one did better in the last month is not very predictive of which one of them will do well in the next month, but it is surprisingly predictive of which way the market will go in the next month.

The effect wasn't strong enough to bet everything on it, but it seemed very much stronger than randomness would suggest. Maybe a good input for an "ensemble" timing model.

Jim