Abstract

https://ssrn.com/abstract=2669202
 


 



Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down


Meb Faber


Cambria Investment Management

October 4, 2015


Abstract:     
Sorting stocks based on value and momentum factors historically has led to outperformance over the broad US stock market. However, any long-only strategy is subject to similar volatility and drawdowns as the S&P 500. Drawdowns of 50%, or even 60-90% make implementation of a stock strategy very challenging. Is there a way to add value on stock selection, but also reduce volatility and drawdowns of a long only strategy with hedging techniques? In this paper we examine the possibility of following a strategy that combines aggressive offense and smart defense to target outsized returns with manageable risk and drawdowns.

Number of Pages in PDF File: 10

Keywords: stocks, bonds, futures, hedging, tail, swan, risk, value, momentum, ETFs


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Date posted: October 8, 2015  

Suggested Citation

Faber, Meb, Learning to Play Offense and Defense: Combining Value and Momentum from the Bottom Up, and the Top Down (October 4, 2015). Available at SSRN: https://ssrn.com/abstract=2669202 or http://dx.doi.org/10.2139/ssrn.2669202

Contact Information

Meb Faber (Contact Author)
Cambria Investment Management ( email )
2321 Rosecrans Ave
Suite 4270
El Segundo, CA 90245
United States
HOME PAGE: http://www.cambriainvestments.com
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