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Jack Vogel - Momentum in Theory, Momentum in Practice (S1E6)

Flirting with Models

CHAPTER

The Quantitative Momentum Index

So let's maybe take a step back and actually talk about the quantitative momentum index for a moment, and maybe you can give us a 30 thousand foot view of how you think of the actual construction of the index. Yes o thes, i'll just go through the process, and then weknow we can dig into each of the steps. So e know for investible universe, its mainly made large caps in the us, or international securities. The step is, as i just mentioned, we are fans of price momentum, not fundamental. There's nothing wrong with fundamental, but we use price momentum.

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