We re-examine contrarian relative-strength profits in one-month stock returns with a focus on: (1) the post-discovery vs.pre-discovery evidence, (2) size-based variation, and (3) time-series patterns. Over the last two decades since the initial documentation in the academic literature, profits...

DeMiguel, Garlappi, and Uppal (DGU, 2009) evaluate 14 models of optimal asset allocation and find that none can consistently outperform the 1/N naive diversification strategy, which highlights estimation-risk concerns. Building from Stevens (1998), we provide a useful dichotomous classification...