Financial Risk Manager Part 2
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Which of the following statements is TRUE about the momentum factor?
A
Momentum is a negative feedback strategy which is inherently stabilizing
B
The momentum factor is observed in equities but is NOT observed in bonds, commodities and real estate
C
Momentum investing by definition is an anti-value strategy; correlations between HML and WML are strongly negative
D
The cumulated profits on momentum strategies have been an order of magnitude larger than cumulated profits on either size or value