Maybe It Really Is Different This Time

摘要

It is often said that the most dangerous words an investor can utter are: "This time it's different." Yet, in this article, the author argues exactly that-the tried-and-true quantitative stock-selection strategies, such as value and momentum (or at least the simple versions of these strategies), which have been very successful for many years, are unlikely to add much value going forward after adjusting for risks, fees, and trading costs. Before the article culminates with this conclusion, however, the author presents both sides of the argument, analyzes the data from new angles, and provides several reasons why it really might be different going forward before concluding with several suggestions for how managers can help add alpha in the future.