Factor Dual Momentum status and plea for data

The recent series analyzed Factor Dual Momentum.  US Value and Momentum factor portfolios were tested back to 1950, courtesy of Ken French’s data library.

Portfolios are ranked on 12 month return.  Using VBR and PDP for value and momentum, the current picture looks like this:

vbr-pdp-mar15

The strategy should be invested in PDP as relative 12 month returns are higher and absolute returns are greater than zero.

PLEA FOR DATA:

I wish to re-run the analysis with a low volatility portfolio, back to at least 1980.  This data was on betaarbitrage.com which has now disappeared.  Chris Asness’ site has factors but not portfolios.  If anyone can help, please let me know in the comments.

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7 thoughts on “Factor Dual Momentum status and plea for data

  1. Pingback: The Whole Street’s Daily Wrap for 3/5/2015 | The Whole Street

  2. The data series from Quandl https://www.quandl.com/data/BARB are not updated after May-2013.

    I would suggest Frazzini’s data library http://www.aqr.com/library/data-sets/betting-against-beta-equity-factors-monthly/data. It provides portfolios’ returns that are long low-beta securities and that short-sell high-beta securities.

    I don’t quite understand what you mean by “Chris Asness’ site has factors but not portfolios”…factors are nothing else than long/short portfolios and therefore sinonimous under such context in my opinion.

    • Thanks for the leads Paolo & Andkmill. I need the long portfolio for the dual momentum analysis. There is no way to extract that from the factor.

      If someone can send the excel data to my gmail (rrspstrategy) that would be awesome, even up to May 2013 – thanks!

    • Monthly, but only when the ranking (12 month return) changes. Look back a few posts to see the switches plotted.

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