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No. of Recommendations: 7
Ugh. It’s starting to look ugly.

But wait, there is more.

Stock market trading has changed dramatically in the 21st century. The rise of algorithmic trading and high-frequency trading has changed the dynamics of share prices and made it much easier for hedge funds to exploit market anomalies. And when Chen and Velikov looked at the performance of factors net of trading costs and after publication but restricted their sample to data from 2005 onwards, all that was left of the performance of the average long/short-portfolio was a meagre 1% per year or 8bps per month.


https://klementoninvesting.substack.com/p/the-future-of-fact...

Growing evidence that the ground has shifted under the feet of classic "MI" screens.

FC
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