5min chapter

Flirting with Models cover image

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

Flirting with Models

CHAPTER

How to Survive Real World Trading Costs

There are two strands of literature that attempt to examine whether or not actor investing, including momentum, exceeds trading cost. The academic model looks to be specified on a multiple of ten times what the actual practitioners are doing. I would say those papers clearly, once again, say it doesn't work. But i have a pretty good rebottle that i haven't seen any one be able to actually say they're wrong about this strategy. So i just recommend everyone kind of read about it and try to outline both sides of it. We think it still works at high level; if you gave like hundreds of billions with no size limit, there's clearly a size limit,. right? If you gave

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