Breaking the Market (EP.23)
Resolve Riffs Investment Podcast
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The Importance of Momentum in Factor Investing
Tiger Woods: You should explore using dynamic control mechanism where you introduce an overlay function that is determining whether your covariance estimates, you're getting good covariances. And if you aren't, then you know what the bias is and you can adjust for the bias dynamically. I've spent a lot more time looking at momentum than anything else because I kind of wondered I think that it was very useful but haven't been sold yet. But when you look at papers on momentum that find that more often you rebalance, you get a better return.
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