Brilliant yet practical work. Thank you for sharing your findings! Statistical portfolio diversification can be accomplished with only 13-15 individual holdings....although outside of the statistical measure of diversification, practically-speaking, there are so many vectors to diversify along (domestic vs intl, market cap size, sector, industry, etc) that even 50 holdings can't possibly fully diversify nevertheless, I'm thinking, just looking at the trends on the focus/rebalancing frequency slide, that there may be some meaningful incremental gains by trimming the monthly rebalancing amongst just 13-15 stocks....assuming of course they're not all clones of one another like just semiconductor stocks.
![067: Quantitative Momentum with Jack Vogel [AUDIO ONLY]](http://i.ytimg.com/vi/U0zn-rspfSY/mqdefault.jpg)
Measure of quality of momentum at 42:55
Could not get in the 12_2 part... What is 2 here... Do we need to look back 12 months preceding last 2 months?
Thank you so much both of you
Very useful. Thanks.
Brilliant yet practical work. Thank you for sharing your findings! Statistical portfolio diversification can be accomplished with only 13-15 individual holdings....although outside of the statistical measure of diversification, practically-speaking, there are so many vectors to diversify along (domestic vs intl, market cap size, sector, industry, etc) that even 50 holdings can't possibly fully diversify nevertheless, I'm thinking, just looking at the trends on the focus/rebalancing frequency slide, that there may be some meaningful incremental gains by trimming the monthly rebalancing amongst just 13-15 stocks....assuming of course they're not all clones of one another like just semiconductor stocks.
How do you determine "quality of momentum"?
Smoothness
Can momentum be paired with Quality?
Momentum is better paired with value
2:30
not very informative