alpha decay
1 statements across 1 episodes · 0 bullish · 1 bearish · 1 people on the record · first statement Jun 10, 2019 by Patrick O'Shaughnessy · across every show →
Everything said about alpha decay, oldest first
Jun 10, 2019 bearish
O'Shaughnessy: Momentum Alpha Exhausts Within One Year and Reverts to Negative Returns
“So you earn all of your momentum, all of your alpha, rather, in the first one year holding period, and then you actually need to get the hell out, because it reverts. And typically, depending on where you're looking at the data, within two years or so, it's ac…”