PT - JOURNAL ARTICLE AU - Daniele Lamponi TI - The Long-Term Performance of Equity<br/>Investment Strategies and the Correlation Trap AID - 10.3905/jpm.2014.40.4.135 DP - 2014 Jul 31 TA - The Journal of Portfolio Management PG - 135--142 VI - 40 IP - 4 4099 - https://pm-research.com/content/40/4/135.short 4100 - https://pm-research.com/content/40/4/135.full AB - This article aims to address the relationship between a measure of stock correlation and a decrease in the risk-adjusted performance of basic quantitative investment strategies. The author studied simple momentum, value, size, and mean reversion investment strategies in the U.S. stock market for the period from 1928 to 2012. The empirical results suggest that all strategies appear to be caught in a correlation trap, as they have the tendency to experience a decrease in risk-adjusted performance when the proposed measure of correlation increases. This effect is present over the whole study period, not restricted to the last few years.TOPICS: Portfolio theory, statistical methods, equity portfolio management