Combining Independent Smart Beta Strategies for Portfolio Optimization
“Working off a market benchmark Sharpe Ratio of 0.42, we find that the market neutral component achieves a ratio of 0.61, the low volatility approach achieves a ratio of 0.90, while the combined leveraged strategy achieves a ratio of 0.96.”
AssetEquities
StrategyFactor investingmomentum
FrequencyMonthly
ClaimSharpe ratioexcess return
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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