Alex Edmans · The Rational Reminder Podcast · The Madness of Markets (Alex Edmans)
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Use market-stress indicators (large S&P 500 drop or high VIX) to predict when momentum strategy will fail and tilt out of momentum exposure
“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”
“Momentum in your fund is the momentum in the stock times the weight in the fund”
“Value and momentum gets a much higher sharp ratio when you combine those two”
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