Why blending value and momentum is a WISE investment strategy

Last year I noted that blending a strategy designed to include cheap stocks with rising stocks could be the 'ultimate market strategy'. The evidence that Value amp; Momentum are excellent bedfellows is utterly compelling. The two strategies are complementary as value tends to prosper when momentum lags and vice versa. Given that the returns to value and momentum are fairly uncorrelated investors in both can reap additional returns for less volatility.

If you are a hardcore value investor it's worth seriously considering if you could really stomach the inevitable 3 or 4 year periods where you massively underperform the market. As mentioned in the article linked above the career of Tony Dye (a dedicated value investing fund manager) famously didn't survive the dotcom bubble, while others threw in the towel right at the wrong time.

While momentum investing is anaethma to most serious investors, there's a growing body of research that shows it should be taken just as seriously as growth investing and clearly a dose of it might just save a few careers. So if you wanted to build a systematic investment process around value and momentum how might you go about it?

Getting WISE

Societe Generale's quant team have been...