
Jack Vogel - Momentum in Theory, Momentum in Practice (S1E6)
Flirting with Models
What's the Limit for Momentum?
Every strategy has to have some size limit, at which point it'll start to impact the market and erode its own potential alpha. So with that in mind, what do you think the limits are for momentum in the market place? Each one will have a different answer before your trading cost will then potentia get higher and, you know, have an effect. Unfortunately, there's no great perfect answer because it's going to adjust all so overtime.
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