Victor Haghani · The Rational Reminder Podcast · Who Causes Stock Market Anomalies? (w/ Victor Haghani)
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Claimed that return-chasing (gradual overweight based on recent returns) performs poorly compared to binary momentum strategies
“What you want to do is hold your fund in slightly different weights compared to how strong the momentum is from each stock, and make sure you have some exposures outside of that momentum bucket as well.”
“Vol targeting ... is highly correlated with somebody who's following a momentum strategy”
“We set up a little algorithm… feeding the weekly prices in… spitting out… based on momentum and scarcity”
“All of the acquired companies retained their management teams and their names… each pursued a regional acquisition strategy in its own name… once the first couple of deals were done, the momentum for joining became irresistible.”
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