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Momentum!

Via Felix Salmon, the Bank of England’s Andrew Haldane offers (PDF) a crackerjack chart:

In both cases you start with $1 in 1880. On the “momentum” strategy, each month you go long the S&P; if it went up the previous month, and you go short if it fell. On the “value” strategy you do the reverse — buy the market after declines, and sell after rises. Momentum works much, much better.

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