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.
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
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: