Lost in The Backtest

Momentum strategies aren’t bothered much by stock market crashes. At least that’s the conclusion you could draw from 2020.

But we know that’s not true. One of momentum’s weak spots are sudden shifts in market direction just like we saw last year. In order to reconcile this, it helps to take a look under the hood.
Daniel Sotiroff notes that:

MTUM and IMTM entered 2020 with heavy allocations to def…

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