The author describes a long-term factor investing strategy using US and European small-cap value and momentum UCITS ETFs with dynamic factor allocation based on trailing 12-1 month returns.
ZPRV — LONG The author believes small-cap value and momentum factor tilts are theoretically more rewarding than a plain S&P 500 index holding over a 50-year horizon. ZPRV provides exposure to US small-cap value stocks, which the author expects to capture the value premium based on academic research. The position is part of a dynamic factor allocation strategy with a 50-year horizon.
ZPRV on IBIS 2 (German stock exchange) on IBKR
ZPRX — LONG The author believes small-cap value and momentum factor tilts are theoretically more rewarding than a plain S&P 500 index holding over a 50-year horizon. ZPRX provides exposure to European small-cap value stocks, which the author expects to capture the value premium based on academic research. The position is part of a dynamic factor allocation strategy with a 50-year horizon.
ZPRX on IBIS 2 (German stock exchange) on IBKR
IWMO — LONG The author believes small-cap value and momentum factor tilts are theoretically more rewarding than a plain S&P 500 index holding over a 50-year horizon. IWMO provides exposure to world momentum stocks, which the author expects to capture the momentum premium based on academic research. The position is part of a dynamic factor allocation strategy with a 50-year horizon.
IWMO on BVME.ETF (Italian stock exchange) on IBKR
IUMO — LONG The author believes small-cap value and momentum factor tilts are theoretically more rewarding than a plain S&P 500 index holding over a 50-year horizon. IUMO provides exposure to US momentum stocks, which the author expects to capture the momentum premium based on academic research. The position is part of a dynamic factor allocation strategy with a 50-year horizon.
IUMO on LSEETF (English stock exchange) on IBKR