Fama-French: 4 market anomalies
Last Login: 2019-04-04
Performance
-
+4.5 %since 2018-06-24
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+3.0 %1 Year
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+2.0 %Ø-Performance per year
Risk
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-21.1 %Maximum loss (to date)
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0.30×Risk factor
Trading Idea
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
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
Master data
Symbol
|
WF000FF4MA |
Date created
|
2018-06-24 |
Index level | |
High watermark
|
106.2 |
Rules
Investment Universe
Trader
Registered since 2018-06-24
Decision making
- Technical analysis
- Fundamental analysis
- Other analysis