Momentum

Momentum is the best-documented anomaly in academic finance — typically measured as the past 12 months' return skipping the most recent month, rebalanced monthly. The catch is exactly that rebalancing: chasing winners means constantly selling, which realises gains and pays spreads.

Our Japanese-equity tests reproduced the textbook result: clearly positive before costs, then ground down to nothing by turnover and the ~20% tax on each realised gain. It is the cleanest example in this project of a real anomaly that retail investors still can't eat.