Identify your Size, Value, and Momentum Benchmark

Identify your Size, Value, and Momentum Benchmark

September 24, 2013 Research Insights
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(Last Updated On: May 9, 2014)

Many readers are likely familiar with Ken French’s data:

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

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.

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

pic2
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

And some numbers:

SSRN-id2089466
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

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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Please remember that past performance is not an indicator of future results. Please read our full disclosures. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.


Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.