Identify your Size, Value, and Momentum Benchmark
Many readers are likely familiar with Ken French’s data:
I’m not sure readers know about other data sources on the web.
Case in point: I’m attaching the Russ Wermer 125 size/value/momo portfolios.
- http://www.rhsmith.umd.edu/faculty/rwermers/ftpsite/Dgtw/coverpage.htm (Homepage)
- http://www.rhsmith.umd.edu/faculty/rwermers/ftpsite/Dgtw/bench%20(2011).csv (raw file)
Here is a cleaned up version already posted in Excel format:
These portfolios represent every quintile cut of size (5x)/value (5x)/mom (5x) and allow you to dial down the historical performance of different combinations.
How do you use these data?
- For example, if you want to see how mid-cap high momentum value stocks perform, grab the size=3, value=5, mom=5 portfolio and can see how that portfolio plays out over time
Some stats on value/size/momentum from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2089466
And some numbers:
Note: This site provides NO information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.
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Definitions of common statistics used in our analysis are available here (towards the bottom)