We focus on the following 2 variables:. Every month, we select the top Value stocks and the top Momentum stocks and hold them for 3 months. We then equal-weight the holdings. Results are net of a 1. All returns are total returns and include the reinvestment of distributions e.

Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. As previously discussedwe can examine what happens when we overlay a timing signal on top of the combination value and momentum stock selection system outlined above. However, if the signals say we should be invested in stocks, we are invested in the Value and Momentum portfolio.

Results to all portfolios are net of a 1.

However, a simple approach documented above seems to work, at least historically. This site provides NO information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.

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Market Timing

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Definitions of common statistics used in our analysis are available here towards the bottom. A Simple Solution to Build and Protect Stock selection market timing Wealth. His dissertation investigates how behavioral biases affect the value anomaly. His academic background includes experience as an instructor and research assistant at Drexel University in both the Finance and Mathematics departments, as well as a Finance instructor at Villanova University.

Vogel is currently a Managing Member of Alpha Architect, LLC, an SEC-Registered Investment Advisor, where he heads the research department and serves as the Chief Financial Officer. He has a PhD in Finance and a MS in Mathematics from Stock selection market timing University, and graduated summa cum laude with a BS in Mathematics and Education from The University of Scranton.

As the market gets cheaper, the expected return increases. Could you clarify the Value and Mom EW Value and Mom RM — net strategy? Do you invest in only Top 50 Value and Top 50 MoM?

Or do you still invest in Top Value and Top MoM, but at half the amount for each stock? Please type and press "enter". Combining Value and Momentum in Stock Selection and Market Timing.

Not a bad idea — we may try it out. Thanks for the suggestion! We would still invest in the Top Value and Top Momentum, but half the amount.

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