Campbell Harvey, Professor of Finance, Fuqua School of Business, Duke University
Alpha Exchange
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Is There a Time Serious Momentum?
Many firms having very similar exposures to factor portfolios, and they were very correlated. And then when something happened that seemed small, it triggered this really high correlation event,. Everybody lost money at the same time. So what i'm talking about is, well, suppose you had a portfolio like that, but you also had an aplication to a trend following strategy. If that was the case, then that might have helped you out. These portfolios mainly didn't have that. They would argue that they had momentum, but it's the different type of momentum. It's the cross sectional we call it. We show that having a mechanical re balancing strategy actually increases the severity of drydown.
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