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I didn't think this would be interesting... but it is. Value and Momentum are usually not correlated (from the literature I have read) and now it is available in one ETF in different marketcaps.
I also dislike these backtested results especially for momentum indexes as that strategy can have high transaction and market impact costs which the indexes don't include. A recent study by Research Affiliates found that these backtested strategies haven't worked out when tried in reality:
LB, you are right but most of the multi-factor funds combine 3 or more factors so I was interested to see the value/momentum combo. The article does note two value/momentum etfs. Thanks.
Comments
https://www.msci.com/documents/10199/21e2d160-e14b-426f-9202-f1f501d0c2d7
Regards,
Ted
wealthmanagement.com/etfs/what-s-inside-your-multifactor-etf
I also dislike these backtested results especially for momentum indexes as that strategy can have high transaction and market impact costs which the indexes don't include. A recent study by Research Affiliates found that these backtested strategies haven't worked out when tried in reality:
https://researchaffiliates.com/en_us/publications/articles/637-can-momentum-investing-be-saved.html