Ep. 905: Zuckerman, Gray and Holiday with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of Cross Sectional Stock Selection Momentum
Cross sectional stock selection momentum is very useful but be just by construction in order to get it to work it has to be really high turnover and you got to do pretty concentrate portfolios which means you're automatically running into scalability problems. The only people frankly that I know of that have actually even given a good faith effort to it would probably be AQR they're the guys I say put momentum at the stock selection momentum on the map.
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