Combining Value factor assets with a high vol asset is actually a nice way to gain a higher sharpe ratio in one's portfolio. One of the drawbacks to owning high momentum assets is they are prone to unexpected regime shifts. The Value factor asset becomes a sort of self balancing barbell, when high vol is down Value a lot of times is up due to risk balancing.
This can reduce the severity of drawdown and volatility in the portfolio.
I agree it's the right approach to evaluate your performance over a multi-year timeframe. That said, your results this year are impressive, and all I can say is: Keep crushing it!
Combining Value factor assets with a high vol asset is actually a nice way to gain a higher sharpe ratio in one's portfolio. One of the drawbacks to owning high momentum assets is they are prone to unexpected regime shifts. The Value factor asset becomes a sort of self balancing barbell, when high vol is down Value a lot of times is up due to risk balancing.
This can reduce the severity of drawdown and volatility in the portfolio.
I agree it's the right approach to evaluate your performance over a multi-year timeframe. That said, your results this year are impressive, and all I can say is: Keep crushing it!
Appreciate it, Denis! We’re completely aligned: It’s the long term results that matter 👍