The Benefits Of A Value — Momentum Strategy

The Benefits Of A Value -- Momentum Strategy

Continued from: Value investing: The academic research [Pt. 3]

UBS On Value-Momentum

Following on from UBS’s analysis of Gregg Fisher, Ronnie Shah & Sheridan Titman’s paper titled, “Combining Value and Momentum” the bank’s analysts go on to construct their own (VM) strategy, based on a more investable universe of stocks.

The goal here is to investigate whether the same benefits can be realized from the approach reported in the paper.

To start, UBS puts together some single-factor value and momentum portfolios, calculating their performance over a sample period. On each rebalance date, the universe is split into buckets based on factor scores. Stocks are then either equally-weighted or cap-weighted in each basket. The...