No. of Recommendations: 4
Momentum works just fine. Just don’t do it like the big guys who are focused on strategies that can “scale” and be sold to others. Finding a good selection pool is probably the most important thing, the second is finding momentum measures that aren’t streaky as in sometimes they work well comparatively and other times they don’t. They should be consistent and work well in any favorable to momentum market type.

Just last week I got a copy of a couple of papers like this

The lead-off paper was "global-equity-momentum-a-craftsmans-perspective.pdf" Lots of big words and 39 pages. Distilled down, the main point was the benefit of using "ensembles" with your momentum (and GEM) screens.

They use it in the same manner that another similar outfit used the word "tranche".

The idea is to mitigate the random luck-of-the-draw on calendar timing, where the CAGR of identical screens is different with a 1 or 2 week change in starting dates.

Bigword. From a practitioners standpoint, it means to effectively run several mini-portfolios simultaneously. For example, with different the lookback periods. One using 12 months, one using 10 months, one using 3 months. Split your screen up into 3 parts, one with each lookback. When it comes time to run the screen, you invest 1/3 according to each mini-screen. Most of the time, in a stable market, they will all be the same pick. But at market turning points you will shift a bit at a time into the "new" pick.

Hard to do with a small portfolio, the positions may be too small to make it worthwhile, commissions may be an issue.
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