How to Combine Value and Momentum Investing Strategies

By |2017-08-18T17:03:25-04:00March 26th, 2015|Key Research, Value Investing Research, Momentum Investing Research, $SPY, $mtum, $vlue, $voo|

The evidence suggests that we keep highly active exposures to value and momentum in their purest forms (assuming we are doing high-conviction non-watered down versions of the anomalies). Blending the strategy dilutes the benefit of value and momentum portfolios. The summary of the benefits of a pure value and a pure momentum approach can be summarized as follows: Easier ex-post assessment, stronger portfolio diversification benefits, and stronger expected performance.

How Rebalancing Frequency Affects Quality and Value investing funds

By |2017-08-18T17:03:33-04:00March 19th, 2015|Value Investing Research, $vlue, $voo|

Rebalance frequency affects value and quality factors in different ways: Value works better when assessed more frequently Quality factors work about the same, regardless of frequently. Other important findings: Value portfolios outperform the market, historically. Quality portfolios perform inline [...]