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Cliff Asness on Quant Value Investing
Masters in Business
Do You Believe That Momentum Is a Fama French Factor?
Fama French still don't include momentum in their official five factor model. " markets are efficient, and it's compensation for risk or for behavioral reasons," he says. The only thing you said that I might take a small disagreement with is consistently. We think value plus momentum has a really good risk adjusted return"
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