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Anomalies and Efficient Portfolio Formation by S. P. Kothari

By S. P. Kothari

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A momentum investment strategy has been highly profitable historically, as Table 4 and Figure 3 demonstrate. 4 percent. 9 percent). 7 percent. 0 percent). As with the BV/MV anomaly, the optimal position was to be fully invested in the Q5 stocks. When the alpha is cut in half, the optimal position is about 80 percent invested in the Q5 momentum stocks, although allocations from 60– 100 percent yield similar performance characteristics. In contrast to the Q5–Q1 spread for BV/MV, shorting the loser stocks and going long in the winner stocks, as Table 4 shows, results in even higher optimal Sharpe ratios and M 2s than only going long in the winners.

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