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Low Vol-Momentum vs Value-Momentum Portfolios

Boring versus Cheap Winners

Nicolas Rabener
10 min read
13 Apr 2020

SUMMARY

  • Low Vol-Momentum & Value-Momentum portfolios outperformed stock markets since 1989
  • Low factor correlations contributed to the attractive risk-return profiles
  • Excess returns have been lower in the most recent than in previous decades

INTRODUCTION

If an investor would state today that in ten or twenty years most portfolios would include an allocation to cryptocurrencies, he would likely be laughed at. However, a similar response would have been encountered in 2000 when proposing to invest in low-risk stocks.

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