Can you make a video that dives into your momentum quality screener(using ID values) in greater detail? I tried to mimic the results of the long and short portfolios using the ID(from the Frog in the Pan paper you guys reference) as a screener, but I keep getting worse returns than just generic momentum.
Another excellent video. If you are still taking question requests for the monthly recap I would love a quick summary of the size premium. I know AA has previously supported AQR's idea about the size premium being more of an academic premium than a practitioner premium but I have heard some arguments in favor of size despite of this. Specifically that size provides greater access to market beta which can be thought of as "free leverage" and that other premiums like the value premium are more pronounced in small stocks. Are these points valid?
There you go making me think differently again. You're the one who finally tipped the scale for me to go into managed futures in 2023. I've had large allocations to small cap value and the total stock market for a long time, thinking these would be a good long-term pair for the rest of my life. This video is making me reconsider that and maybe swap my total stock market allocation out for momentum. Obviously I need to research it for myself so I have conviction for the long run, but it seems a bit hypocritical to swap out an old "long-term" conviction for a new one. I guess it's the art of knowing the difference between self-sabotage and learning something new and valid.
They can be related, but generally speaking, we refer to momentum as cross-sectional (comparing assets with one another) and trend as absolute (comparing an asset to itself). - Jose
Can you make a video that dives into your momentum quality screener(using ID values) in greater detail? I tried to mimic the results of the long and short portfolios using the ID(from the Frog in the Pan paper you guys reference) as a screener, but I keep getting worse returns than just generic momentum.
Another excellent video. If you are still taking question requests for the monthly recap I would love a quick summary of the size premium. I know AA has previously supported AQR's idea about the size premium being more of an academic premium than a practitioner premium but I have heard some arguments in favor of size despite of this. Specifically that size provides greater access to market beta which can be thought of as "free leverage" and that other premiums like the value premium are more pronounced in small stocks. Are these points valid?
Just in time! We'll include this question for the next Round up. Thank you for watching! - Jose
There you go making me think differently again. You're the one who finally tipped the scale for me to go into managed futures in 2023. I've had large allocations to small cap value and the total stock market for a long time, thinking these would be a good long-term pair for the rest of my life. This video is making me reconsider that and maybe swap my total stock market allocation out for momentum. Obviously I need to research it for myself so I have conviction for the long run, but it seems a bit hypocritical to swap out an old "long-term" conviction for a new one. I guess it's the art of knowing the difference between self-sabotage and learning something new and valid.
Hit your 401K or IRA hard month after month, year after year.
Self-directed? Buy and hold Berkshire Hathaway or SPY.
Isn't Trend Following a kind of Momentum? (well, many small parts that each of them is a Momentum strategy in itself?)
They can be related, but generally speaking, we refer to momentum as cross-sectional (comparing assets with one another) and trend as absolute (comparing an asset to itself). - Jose