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The Best of Both Worlds: Combining Momentum and Value Strategies
There is substantial evidence that both value and momentum strategies have
historically generated above-average returns over time. Importantly, the
excess return that these strategies deliver is negatively correlated
therefore using both strategies in one portfolio can lower risk and improve
portfolio efficiency. In this paper we will present some of the research
produced by academicians and practitioners on the effectiveness of momentum
and value strategies. Moreover, we will provide a real world example of
combining these strategies into a single portfolio.
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