Fama-French: 4 market anomalies

  • +4.5 %
    since 2018-06-24
  • +6.6 %
    1 Year
  • +3.2 %
    Ø-Performance per year
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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
Master data
Symbol
WF000FF4MA
Date created
2018-06-24
Index level
High watermark
104.4

Rules

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Investment Universe

Trader

Registered since 2018-06-24

Decision making

  • Technical analysis
  • Fundamental analysis
  • Other analysis

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