Combining Value and Momentum Across Asset Classes

Summary

The strategy ranks a multi asset universe using two momentum horizons and a valuation measure. It assigns equal portions of the combined score to 12 month and one month momentum, and a larger portion to value. Stock valuation is represented by earnings yield, while bonds use yield to maturity; specified adjustments are applied to some asset classes. The strategy goes long the highest ranked quartile and short the lowest ranked quartile, rebalancing monthly. The universe described includes regional equity markets, real estate, bonds, and cash, with ETFs or futures serving as investable vehicles.

The supplied implementation shows how to load price and yield data, form rolling performance measures, combine ranks, and allocate holdings. It also notes that one country valuation dataset ends before the backtest’s later years, so the last available reading is carried forward. The excerpt provides implementation details but no performance results or comparative evidence. Its rank construction, asset coverage, data availability, leverage, and transaction costs all affect how results should be interpreted.

Key ideas

• The strategy combines one month momentum, 12 month momentum, and valuation into a cross asset ranking.
• Value is measured with earnings yield for equities and bond yields for fixed income, with adjustments for selected assets.
• The highest and lowest ranked quartiles form the long and short portfolios.
• The implementation updates rankings monthly and uses ETFs or futures as investment vehicles.
• The excerpt gives no performance results, and it carries a stale country valuation reading forward after the dataset ends.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.