#1 Read of the Year

I sent this to The Idea Farm last week – this is always my #1 read of the year,  the CSFB Global Investment Returns Yearbook!  This is the annual update to my favorite investment book,Triumph of the Optimists.  Included this year is a near 100 year backtest on industry rotation based on value and momentum.


First person to replicate their returns with French Fama data below gets a free sub to The Idea Farm.


industries market cap weight, also equal weight

industries sorted by momentum quintile

industries sorted by valuation quintile

industries sorted by valuation/momentum combo quintile

returns, volatility, drawdown stats and equity curves