Book summary: Quantitative momentum

  • momentum is attributed to under reaction to good news
  • value investing is attributed to overreaction to bad news

On fund managers

  • ¬†fear losing their jobs
  • are more willing to be wrong with everyone else than being potentially right alone
  • will not be able to hold a strategy that shows consistent losses for a few quarters for a outsized win a year later
  • Interest between fund managers and investors might not be aligned
    • wants to manage ever larger funds to increase management fee
  • large fund sizes prevents them from entering positions where only small funds can be deployed to obtain outsized returns

On the use of leverage

  • The market can stay irrational longer than you can stay liquid

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