/biz/ - Business & Finance

>>56469314
>are you now claiming that a 2x long term daily rebalanced SSO buy and hold doesn't outperform SPY?
>It hasn't been for 2 year now
Yes, this is a whole 'nother argument but since you brought it up, run your test for 1 year, 3 years, 4 years, 5 years, 6 years, 7 years, etc. etc. You cherry picked 2 years but every other time frame SSO outperforms SPY
>I've been pretty explicit in stating my view that rule based strategies are generally a guarantee of mediocre returns
Your view is wrong
>I had hoped you'd at least have some SSRN paper to back up these claims about "momentum" as a factor
Here's one from AQR. Just click the download link on the right. Assuming you're posting in good faith I think you'll find it informative. Hopefully it's authoritative enough. If not google for Eugene Fama's statements in support of the persistence of the momentum anomaly. It probably doesn't get anymore authoritative than a nobel prize winner. Sorry I don't have any random SSRN papers since I rarely go there to read the dreck
https://www.aqr.com/Insights/Research/Journal-Article/Fact-Fiction-and-Momentum-Investing