A closer look at utilizing Value and Momentum

Dr. Jack Vogel recently shared a study he conducted that looked at:

  • Is it better to combine value and momentum to create a portfolio? OR
  • Concentrate on the value and momentum factors independently before combining the factor portfolio?

To complete his study he examined mid and large-cap caps in US and International Developed markets.

The Findings

Separate (then 50/50) means:

  • Initially two portfolios, one for Value and one for Momentum, are created
  • Then the money is split 50/50 between the Value and Momentum portfolios

Summary

In comparison to the “Combined-signal Portfolio,” more concentrated portfolios had superior returns in the “Separate, then combined” portfolio.

For the complete detail of the study, go to:

https://alphaarchitect.com/2021/05/25/value-and-momentum-investing-combine-or-separate/