Value And Momentum And Investment Anomalies

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.

Their findings led the authors to conclude:

“Our findings further corroborate the hypothesis that mispricing is an important source of anomaly profits.”

They added:

“We are the first to document that value works across anomalies and that anomaly-value and anomaly-momentum can be combined to create a powerful trading strategy.”

Finally, they suggested:

“that anomaly momentum can reduce tail risk when used to time investment decisions.”  

Their study contributes to the body of evidence suggesting that investors can improve the efficiency of their portfolios by using investment vehicles that incorporate both value and momentum strategies.

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Disclosure: Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past ...

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