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Momentum docile spread 19212014 Past Winners Long/Short Decile 10 [10-1) Beta from CAPM -0.17 Beta on Market Factor .

Suppose the positive returns to the momentum strategy reflect that the strategy is "risky".  Under this scenario, would you expect the momentum strategy to still yield positive returns on average in the future?  Answer "YES" or "NO" and explain

Screen Shot 2018-11-04 at 12.57.10 PM.png

Screen Shot 2018-11-04 at 12.57.10 PM.png

Momentum docile spread 19212014 Past
Winners Long/Short
Decile 10 [10-1) Beta from CAPM -0.17 Beta on Market Factor .2 -0.07 Beta on Value Factor

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