This episode focuses on building a momentum-based stock selection model, expanding on the idea that momentum is a sustainable investment approach. It details how to calculate generic momentum using past stock returns and explores three types: short-term, long-term, and intermediate-term momentum, noting that intermediate-term momentum (6-12 month look-back) exhibits continuation of returns, unlike the reversals seen in short-term and long-term. The source also discusses maximizing momentum by considering "path dependency" (smooth vs. jumpy price movements) and incorporating seasonality (quarter-ending and year-end effects) into rebalancing strategies. Finally, it presents a "Quantitative Momentum" process that integrates these elements, analyzes its historical performance and risks, and suggests combining it with value investing for a more diversified and robust portfolio
