
Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies by Andreas F. Clenow
One Trading Book per Day
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Implementing Momentum Strategies: Considering Market Conditions, Stock Sorting, and Position Sizing
This chapter explores the role of market conditions in momentum strategy, including the use of market-conditioned filters and stock sorting. It also emphasizes the importance of position sizing and recommends a risk parity approach for a balanced portfolio. Additionally, it touches on the topic of selling or rebalancing the portfolio.
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