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. show more