Identify your Size, Value, and Momentum Benchmark

/Identify your Size, Value, and Momentum Benchmark

Identify your Size, Value, and Momentum Benchmark

By | 2017-08-18T17:03:11+00:00 September 24th, 2013|Research Insights|5 Comments
Print Friendly, PDF & Email
(Last Updated On: August 18, 2017)

Many readers are likely familiar with Ken French’s data:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

I’m not sure readers know about other data sources on the web.

Case in point: I’m attaching the Russ Wermer 125 size/value/momo portfolios.

Here is a cleaned up version already posted in Excel format:

These portfolios represent every quintile cut of size (5x)/value (5x)/mom (5x) and allow you to dial down the historical performance of different combinations.

How do you use these data?

  • For example, if you want to see how mid-cap high momentum value stocks perform, grab the size=3, value=5, mom=5 portfolio and can see how that portfolio plays out over time

Some stats on value/size/momentum from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2089466

pic2

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

And some numbers:

SSRN-id2089466

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.


  • The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
  • Join thousands of other readers and subscribe to our blog.
  • This site provides NO information on our value ETFs or our momentum ETFs. Please refer to this site.

About the Author:

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.