Momentum is highly correlated with negative value. If you buy a value and a momentum fund, the value fund will waste a lot of transaction costs purchasing low momentum stocks, and the momentum fund will do the opposite. Multi-factor funds are, at least theoretically speaking, much more effective.Forester wrote: ↑Wed Oct 07, 2020 4:20 amAfter reading this series of articles https://fortunefinancialadvisors.com/b ... m-barbell/ and High Returns From Low Risk by Pim Van Vliet I decided to split my equities evenly threeways between momentum, min vol & value/SCV. In some markets, min vol will be the most defensive strategy (2008) in others SCV will hold up best (70s, Dotcom).absolute zero wrote: ↑Tue Oct 06, 2020 9:09 pm Question for the group - how do most value investors think about momentum? In particular for those of us invested in IJS/VIOV which do not have one of those fancy momentum screens. Is there a way to get a sense for how much of the small/value premium gets offset by the negative momentum exposure?
Overall with this split I should be underexposed to expensive downtrending stocks (the worst of all stocks to own), relative to a TSM approach.
I wouldn't trust anything that blog says. He says data was sourced from morningstar, but to my knowledge no live performance data of momentum funds is available back to 1997. It's all cherry-picked.
DFA seem quite confident that momentum can't be exploited in real life.
You should evaluate the total portfolio performance, which is characterized by the factor exposure. Backtests are not suitable tools to evaluate factor ETF's, no matter if they are black-box multifactor funds or combinations of single-factor funds.