Posted by yuvaltaylor at Mar 17, 2022 8:40:18 AM
Re: Factor Momentum
To quote from the paper:

"we find that factor momentum, although exhibiting statistically significant positive returns, does not outperform a simple buy-and-hold strategy based on the same set of factors." In other words, switching from one factor to another based on factor momentum isn't better than simply applying the same factors and buying and holding.

Is it then worth the trouble to implement a factor-momentum switching policy?

By the way, the betting-against-beta factor is to go long leveraged low-beta assets and short high-beta assets. You seem to be doing it the other way around on your "framework" website.
Yuval Taylor
Product Manager, Portfolio123
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