The EMH Aten’t Dead, especially section Modern Edges are Completely Ridiculous and the discussion of value investing and Buffett’s success there. The author writes this here, though:
This might be a good time to confess that I’m currently testing a momentum (trend-following) strategy with a small part of my portfolio, which, uh… flies in the face of all of the above. It’s performed almost comically badly through the COVID-19 crash, which ought to have been a delicious punishment for my hypocrisy and hubris, except that I just so happened to over-rule the crucial decision (i.e, I got lucky). I’m also tracking the counterfactual where I stuck with the experiment: if momentum really does turn out to be a persistent anomaly in otherwise efficient markets, then that would be fascinating—either way, I’ll try to write up a review some time later this year.
Some related posts on LessWrong:
The EMH Aten’t Dead, especially section Modern Edges are Completely Ridiculous and the discussion of value investing and Buffett’s success there. The author writes this here, though:
Review of “Lifecycle Investing”