I finished Wes Gray and Jack Vogel's 'Quantitative Momentum' a few days ago. Great read (!), I know Wes gave a talk with Quantopian a few months ago about "Sustainable Active Investing". This talk, though, is about value investing, so I was wondering if anybody had implemented their momentum algorithm here yet. Very curious.
Second, probably super naive question: prior to QM I read Andreas Clenow's 'Stocks on the Move'. His rational for risk-weighting based on ATR ("buying risk") seemed to me the most sensible way to allocate a portfolio. However, I have not seen this anywhere else. Including QM, which uses value- or equal-weighting. I assume I'm just missing something obvious, but can anyone explain gently why risk-weighting seems like a less popular choice?