Fama French market factor (Rm-Rf) is probably more representative (includes all of NYSE, AMEX and NASDAQ stocks). The risk premium Rm-Rf has a rolling 10y average of 8.6% p.a. over 1926-2021. It plots a near perfect sinusoidal curve :)
Two questios...though all three portfolios are monthly rebalanced, what is the relative “churn”? It seems (correct me if I am wrong) that the momentum portfolio will suffer more changes and so incur higher transactions costs. Second, your CAPM betas are calculated over what horizon/method, what is “proprietary” about your optimzer (standard mean-variance?), if you can say something about it without revealing its “secret sauce”...
Fama French market factor (Rm-Rf) is probably more representative (includes all of NYSE, AMEX and NASDAQ stocks). The risk premium Rm-Rf has a rolling 10y average of 8.6% p.a. over 1926-2021. It plots a near perfect sinusoidal curve :)
Tks! All very clear
Two questios...though all three portfolios are monthly rebalanced, what is the relative “churn”? It seems (correct me if I am wrong) that the momentum portfolio will suffer more changes and so incur higher transactions costs. Second, your CAPM betas are calculated over what horizon/method, what is “proprietary” about your optimzer (standard mean-variance?), if you can say something about it without revealing its “secret sauce”...