For simplicity let's say value is picking the lowest quintile PE ratio of stocks.
Let's say momentum is picking the highest quintile trailing 6 month returns.
Both of these are known to outperform the market individually. What would happen if you were to combine these factors in either of the potential thought experiments?
1) Of the stocks with the lowest quintile PE ratio, buy the ones with the highest quintile trailing 6 month returns.
2) Of the stocks with the highest quintile trailing 6 month returns, buy the ones with the lowest quintile PE ratio.
Output measure: 1 year return on investment
A good example of a value + momentum stock in my book would be the WSB classic $MU
Submitted June 15, 2018 at 11:49AM by mikhael4440 https://ift.tt/2JRbll5
