Even if you believe in factor investing, it is very difficult for most investors to actually implement it. Trading portfolios with hundreds of stocks requires considerable infrastructure, enough money, and efficient transaction cost management. This is already a challenge for many institutional investors, so it is logically even more difficult for people like you and me. This week’s AGNOSTIC Paper addresses this issue and presents an idea to still benefit from momentum via equity indices and the corresponding ETFs.
- Country and industry momentum worked historically
- The strategies seem to be implementable via ETFs
- The strategies remained profitable after trading costs