Experiment with Momentum

Adding value, quality factor to momentum has not been shown to add value in many research papers.

I have shared a repository of momentum research on my blog. You will find some research related to your Q in this.

I usually call it creating khichdi of factors, it only reduces the targeted factor exposure and reduces returns. Might help in DDs, volatility though.

There are two ways to assimilate multiple factors in a PF, one is to maintain different systems with different allocations to each. The other is to mix ranks of multiple factors in a variety of ways. Both reduce returns.

PS: just saw you also call it khichdi. :rofl:

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