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Cap-Weighted Benchmarks: Good Momentum Bets?

No, they are not.

Rodolfo Martell
10 min read
13 Jul 2020

SUMMARY

  • After strong momentum rallies, investors frequently ask if cap-weighted benchmarks are good Momentum bets
  • Factor exposure analysis shows this is not the case
  • Investors should seek smart beta and long-short products if they want Momentum exposure

INTRODUCTION

Old myths are hard to kill. Good old myths are nearly impossible to kill. Good old myths with elements of pseudo credibility are like crabgrass in a well-manicured lawn: you can count on it to make an attempt at comeback every season. Think of Area 51 or the conspiracy theories about the faking of the moon landing.

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