And that was the other bear market that we experienced, which was an inflationary driven bear market. So it's just interesting to me that during this period where we're talking about momentum not working, it happens to dovetail kind of nicely with the last time it didn't work, which was that deflationary depressionary environment in the 30s and 40s. And then when inflation hit after World War II, you can see that momentum started working again. So if you think about how cycles work over time, we go from deflation to reflation to inflation to disinflation, you can see those cycles playing out here. If we just completed a deflationary cycle and everybody's talking about us going to inflation and everybody's worried about it, I would argue that we have to go through that reflation phase first. Then we talk about inflation, but from a momentum standpoint, after 20 years of struggling and everybody pretty much chomping at the bits to talk about how momentum doesn't work, I think that if we actually do start to experience some inflation and some growth, we might actually start to see this momentum factor start to generate some return. So that's one example of what I mean when I say momentum doesn't work because frankly, it hasn't worked more recently. But if you dig into it, what I really mean by momentum not working is again, I'm sure this is a controversial statement and I'm sure there are many systematic mechanical viewers here that are listening and would take issue with this statement. But I'm just thinking like if you have a signal that's telling you to do something to buy stock, a commodity, whatever it is, if that signal is wrong half the time or sometimes even worse than that, I would say is that a good signal? I would say it's not. If it doesn't produce accuracy over at least half of their projections, I would say it's an inaccurate signal. But we can look at the stream of returns for the factor over time. We can see that a quote unquote works. Why is that? This is what I would say. The reason momentum as a factor quote unquote works, IE generates profit over time is not because of the signal. So if you look at the, I think it's the next chart. Yeah, the next chart page four, this is a chart of the SMH semiconductor ETF. And in the bottom panel, this is a chart which you can get on stock charts.com. In the bottom panel there, you can see stock charts is momentum score. It's that black line, almost looks like an RSI indicator. So momentum as we know, one of the problems with momentum is that it has very high turnover, IE, because the signal is off and wrong, you have to sell the stock once you buy it, you have to sell it. That's basically the short term mean reversion problem of momentum. But you can see that as this SMH is trying to make its way up from left to right during, say the 2017 to 18 period, which is that first red box, you can see how that momentum score falls out of the top decile several times. And so therefore, as a momentum investor, you have to sell that stock generating that turnover that we talk about. And it's one of the pushbacks on momentum, but contrast that experience with trend following. So trend following gets you to the same stock, which you can see trend following is basically when you have a series of higher highs and higher lows is a very simple definition. You can see that with that first green arrow. So trend following would buy this stock in that moment. And then it would continue to hold that stock until you have a series of lower lows. Note that during that uptrend, trend following stayed with that stock, whereas momentum was forced to sell it several times. That's what I mean when I say momentum as a signal doesn't work. Momentum as a factor. Yes, it does generate profit. Why does it generate profit? If you go to the next page, it's because momentum as a factor has what's called positive skew momentum. Again, just simply ranking them the market buying the top decile selling anything that falls out of the decile and holding on to anything that stays in that top decile. That's basically the process that that very process in itself has built into it a stop mechanism, which prevents left tail events from happening because as soon as it falls out of the top decile, it's gone. Now it may be it may sell it in era and it will come back up to the top decile again. That's a whole that's the turnover problem we talked about. But one thing that momentum can't help but do is capture things like Tesla. When Tesla goes above the goes into the top decile and stays there for several years, momentum will catch it. But so too will trend following. So it's the point is is that because momentum as a factor has such high turnover, I would qualify the signal as not working. So when we credit trend follow when we credit momentum with quote unquote working over time, I think we need to be clear that it's not the signal that's actually generating the the P and L over time. It's the fact that the process has a positive skew. It won't allow the left tail events to unfold because it's constantly selling anything that falls even a little bit. But it will capture those right tail events, which is critical to generating positive returns for anybody no matter who you are. That's what I mean when I say momentum doesn't work as a

signal.