Fama-French: 4 market anomalies

Performance

  • +4.5 %
    since 2018-06-24
  • +3.0 %
    1 Year
  • +2.0 %
    Ø-Performance per year
All fees have already been deducted

Risk

  • -21.1 %
    Maximum loss (to date)
  • 0.30×
    Risk factor
Content after Login

You want access to all the information?

To see actual portfolio of this wikifolio, the performance-chart and sustainability-score please register now - for free.

Register

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
106.2

Rules

wikifolio labels

Investment Universe

Trader

Registered since 2018-06-24

Decision making

  • Technical analysis
  • Fundamental analysis
  • Other analysis