All that glitters is not gold: Comparing backtest and out-ofsample performance on a large cohort of trading algorithms

I stay away from factor ETFs. I do think momentum can work if paired with cheap valuation, longer term underperformance, and low volatility. Basically you try to ride the mean reversion back out of the trough. I question how well pure momentum works. I have never been able to produce reasonable returns in backtesting with most momentum strategies.

Jeff