Behind The Markets Podcast: The 2022 Jacobs Levy Quantitative Finance Conference
Behind the Markets Podcast
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Is There a Market Anomaly?
The volatility of the momentum strategy, although you take long positions in some stocks and short positions in some stock is hard to use as a singular signal. After you turn over your portfolio, sometimes they drop. And because it cannot as a stand alone, people find it very difficult to arbitrise that. I can present some evidence to day where it's also, or the last 30 years, still there.
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