Simple Volatility-Payout-Momentum Stock Strategy
April 12, 2018 - Momentum Investing, Size Effect, Volatility Effects
Is there an easy way for investors to capture jointly the most reliable stock return factor premiums? In their March 2018 paper entitled “The Conservative Formula: Quantitative Investing Made Easy”, Pim van Vliet and David Blitz propose a stock selection strategy based on low return volatility, high net payout yield and strong price momentum. Specifically, at the end… Keep Reading