No. of Recommendations: 5
The first link wants you to buy the paper.
You can get it free from:
SSRN: Research paperI haven't yet read the paper but " ...focused on the 10 individual months from the past century in which the traditional momentum strategy suffered its worst crashes... the researchers’ alternate momentum strategy lost an average of only 2.4% during those same months.”
Ok, but what did it do in the other months? If it reduce their gains it might be a net loss.
Someone here will probably test it on GTR1 if we can figure it out.
