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Edwin Choi, CFA

 
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  • Asset Allocation With Value And Momentum [View article]
    @Les

    The 20.1% is per year. The y-axis is cumulative return.

    Now that you mention it, it is a bit confusing. Hope this clears it up.

    Edwin
    Jan 15, 2014. 04:48 PM | Likes Like |Link to Comment
  • Asset Allocation With Value And Momentum [View article]
    @Canadian14

    My methodology is roughly based on Cliff Asness's paper "Value and Momentum Everywhere" ( http://bit.ly/1apdqM6). If you're interested in this sort of thing, it's a fascinating read.

    I looked for something simple that can be consistently applied to asset classes as varied as commodities, bonds and stocks. At a high level, this is what I do:

    Momentum: 12 month trailing total return
    Value: Inverse of 5 year trailing total return, with some adjustments

    I can't share every detail, but you can see the analysis, as of earlier this month on my blog:
    http://bit.ly/1apdqMa

    Edwin
    Jan 15, 2014. 01:13 PM | Likes Like |Link to Comment
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