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ColbyDavis comments on A Guide to Rational Investing - Less Wrong
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Re: Momentum:
Firstly, a momentum strategy would have taken huge losses (50%+) in the big stock rebounds of July-Aug 1932, and March-Sep 2009. That certainly supports the view that momentum generates returns only by assuming huge market risk. I can't help notice that your footnote on this point only goes to a paper discussing the value anomaly, not the momentum anomaly. Do you have any thoughts about this?
Secondly, my understanding is that the momentum anomaly has been very small since 2000. See e.g. here. Although you can argue that this "just" reflects the disaster of 2009, it's something that needs to be taken into account.
Good point. Again, these strategies don't always work, and their returns are more skewed and leptokurtic than broad market averages, which is probably at least part of the reason they work in the first place. An interesting thing about value and momentum though is that the two strategies have negatively correlated active returns, i.e. value tends to outperform when momentum is underperforming and vice versa, which allows for portfolio construction that can be less volatile than a broad index.
It is true that momentum hasn't been very strong in the US equity market since 2000. It has continued to work among global stocks in general, as well as in other asset classes. Though momentum might just be temporarily out of favor in the US I would generally expect this pattern to continue as the US equity market - and especially blue chip US companies - is the most efficient around. But the global capital markets are a very large place.