By S. P. Kothari
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Extra resources for Anomalies and Efficient Portfolio Formation
Book Page 44 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation Figure 7. Optimal Allocation with Three Anomaly-Based Strategies A. No Short Selling c=0 23% c=0 77% 70% 30% Winner Stocks Value Stocks B. 5 6% 8% 35% 23% 27% 46% 25% 30% Stock Index Size Spread Portfolio Momentum Spread Portfolio Value Spread Portfolio with 30 percent now in winner stocks. 2 percent (keep in mind that M 2 is M to the power of 2). 75 (not shown), reflecting less confidence in the historical alphas, the active portfolio would consist of 8 percent in large-cap stocks, 60 percent in value stocks, and 32 percent in winner stocks.
Conclusions and Directions for Future Research Our main findings are as follows. S. equity market during the 1963–99 period. This absence of a size effect is a result, in part, of our exclusion of very-small-cap and low-priced stocks in an attempt to approximate realistic investment strategies. As in earlier work, the BV/MV and momentum effects are large. 0 percentage points for the momentum quintiles. book Page 46 Thursday, December 19, 2002 11:51 AM Anomalies and Efficient Portfolio Formation fully invested in Q5—high BV/MV or strong momentum.
In fact, Panel B of Figure 2 clearly shows that investing 50 percent or more of the portfolio in Q5 dominates the optimal spread position. Note that this spread should be highly correlated with the much-heralded Fama–French HML (high minus low) BV/MV factor. Thus, an investment strategy that tries to mimic this factor by forming an optimal tilt with the market index appears to be dominated by other simple tilt strategies. ■ Tilting toward momentum quintiles. A momentum investment strategy has been highly profitable historically, as Table 4 and Figure 3 demonstrate.
Anomalies and Efficient Portfolio Formation by S. P. Kothari