Daily Archives: March 31, 2016

The Dynamic Duo Of Risk Factors: Part II

Last week’s post on analyzing US equity value and momentum risk premia ended with a question: How much, if any, improvement should we expect by adding a dynamic system for managing exposure to these risk factors vs. a buy-and-hold strategy? What follows is a preliminary effort in searching for an answer. As a preview, the results are mixed, but this may be an artifact of a) focusing on value and momentum factors within the US equity space;  b) using a specific definition of value and momentum (via Professor Ken French’s data library), which merely scratches the surface for modeling possibilities; and c) applying a simple tactical model that may be responsive to parameter changes for enhancing results.
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