the data on price momentum seem to show remarkable long-haul success. As I noted last month, Tom Hancock--co-head of GMO's global quantitative equity team--has crunched the numbers and found that, between 1927 and 2009, a simple strategy of investing in stocks with the highest trailing-12-month returns surpassed the broader market by 3 annualized percentage points.
And Yet … A healthy dose of skepticism is in order. While momentum may look terrific under laboratory conditions, it can be devilishly difficult for actual investors to exploit.
[see also buy low or buy high]