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Article

A Case Study for Using Value and Momentum at the Asset Class Level

Victor Haghani and Richard Dewey
The Journal of Portfolio Management Spring 2016, 42 (3) 101-113; DOI: https://doi.org/10.3905/jpm.2016.42.3.101
Victor Haghani
is the founder and CEO of Elm Partners in London, U.K.
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  • For correspondence: victor@elmfunds.com
Richard Dewey
is a portfolio associate at PIMCO in Newport Beach, CA.
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  • For correspondence: richard.dewey@pimco.com
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Abstract

This article explores a globally diversified asset allocation strategy driven by value and momentum factors. The authors find that adjusting for value and momentum yields higher and better quality returns that are statistically and economically significant. This research differs from the existing literature in that it examines the value and momentum effects at the asset class level and uses a long-only approach. The research employs simple nonoptimized metrics for value and momentum, which reduce the chances that the authors’ results are attributable to data mining. The authors find that dynamic asset allocation based on simple valuation and momentum metrics would have added roughly 266 basis points of excess annualized return over the sample period 1975–2013.

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The Journal of Portfolio Management: 42 (3)
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Spring 2016
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A Case Study for Using Value and Momentum at the Asset Class Level
Victor Haghani, Richard Dewey
The Journal of Portfolio Management Apr 2016, 42 (3) 101-113; DOI: 10.3905/jpm.2016.42.3.101

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A Case Study for Using Value and Momentum at the Asset Class Level
Victor Haghani, Richard Dewey
The Journal of Portfolio Management Apr 2016, 42 (3) 101-113; DOI: 10.3905/jpm.2016.42.3.101
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  • Article
    • Abstract
    • DATA AND METHODOLOGY
    • VALUE AND MOMENTUM METRICS
    • PORTFOLIO CONSTRUCTION
    • RESULTS
    • INTERACTION OF VALUE AND MOMENTUM SIGNALS
    • RISK
    • CAVEATS
    • TRANSACTIONS COSTS AND TURNOVER
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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