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”...
The monthly rebalance churn is in dozens of stocks for all three portfolios. Transactions costs are basically zero now (eg, IBKR Lite has zero commission trading).
The CAPM betas are computed on a 252-day rolling basis. I use standard optimizers that are not a trade secret. What is a trade secret is my derisking strategy that is combined with standard portfolio optimization to yield superior risk-adjusted performance.
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”...
The monthly rebalance churn is in dozens of stocks for all three portfolios. Transactions costs are basically zero now (eg, IBKR Lite has zero commission trading).
The CAPM betas are computed on a 252-day rolling basis. I use standard optimizers that are not a trade secret. What is a trade secret is my derisking strategy that is combined with standard portfolio optimization to yield superior risk-adjusted performance.
Note that the momentum portfolio is not a product offering of my firm — despite derisking it is too volatile for my taste. See my latest on what is on offer: https://policytensor.substack.com/p/an-illustrated-guide-to-my-flagship.