We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...

When long-term investors trade slowly changing portfolios, they are not particularly sensitive to when they should place or modify their bets. Short-term information can be used to guide investors on how to time their trades. Strategic trade modification provides exposure to short-term signals...

When a long-term investor trades a slowly changing portfolio, she is not very time sensitive to when she should place or modify her bet. Short-term information can be used to guide the investor on how to time her trades. Strategic trade modification provides exposure to short-term signals...