Behind The Markets Podcast: The 2022 Jacobs Levy Quantitative Finance Conference
Behind the Markets Podcast
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How to Define Momentum?
Professor tipman and jaggedishe o. talk about the industry effects of momentum, that youcan get very concentrated. Professor tipman: You can measure momentum by looking at a, not ranking stocks by their past returns over the last six to 12 months, but by their past alphas. When you do either in a net of industry or a alpha, you're going to get a more stable momentum portfolio.
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