Integrating Momentum and Value Stock Exposures
July 28, 2016 - Momentum Investing, Strategic Allocation, Value Premium
What is the best way to combine styles (smart betas) in one portfolio? In their June 2016 paper entitled “Long-Only Style Investing: Don’t Just Mix, Integrate”, Shaun Fitzgibbons, Jacques Friedman, Lukasz Pomorski and Laura Serban compare two approaches to long-only combined equity style investing: Mixed portfolio – simply picks stocks from single-style portfolios. Integrated portfolio – first combines single-style rankings into an… Keep Reading