Have fun and a great long weekend!
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Hi Andreas - would you consider making the ETF portfolio available as a P123 Designer Model? I bet it would be great in a book with my small-cap systems. Thanks.
Great video! If you don't mind 2 more questions:
1. How does your system decide what % of portfolio to be long smallcap value quality momentum and short IWM? I.e. are you always long 100% your trending factor basket and then add 33% short IWM when you are concerned about deflation, or is there some rule to follow?
2. The papers you mention suggest that idiosyncratic momentum trends even better than vanilla momentum. Have you considered using that factor trend instead/in addition to your current approach?