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