Fama-French: 4 market anomalies

STRATEGY: This portfolio takes advantage of market anomalies identified in academia based on Fama and French. Anomalies of relevance are: (1) Risk-adjusted rentability differences of small versus big market capitalisations (2) Risk-adjusted rentability differences of value- versus growth stocks (book-market-ratio) (3) Positive serial autocorrelation in the short term (Momentum) (4) Flatter Security Market Line (SML) as predicted by the Capital Asset Pricing Model IMPLEMENTATION: To capture value from market anomalies best, the portfolio holds selected ETFs over a longer period of time.