Doing Momentum with Style (ETFs)
July 25, 2024 - Momentum Investing, Size Effect, Value Premium
“Beat the Market with Hot-Anomaly Switching?” concludes that “a trader who periodically switches to the hottest known anomaly based on a rolling window of past performance may be able to beat the market. Anomalies appear to have their own kind of momentum.” Does momentum therefore work for style-based exchange-traded funds (ETF)? To investigate, we apply… Keep Reading