Behind The Markets Podcast: The 2022 Jacobs Levy Quantitative Finance Conference
Behind the Markets Podcast
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How to Manage the Momentum Portfolios?
i do tilt a little bit towards the momentum portfolio, but over all, yet, some of them do quite well. But managing these factors independently is really a bad idea because of the transaction costs. So there's a lot of different factors that are likely to effect expected returns and you wouldn't want to manage them as separate portfolios. That's why i'm saying it sort if does take special experts.
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