A Case Study for Using Value and Momentum at the Asset Class Level

Elm Wealth

Victor Haghani, Richard Dewey

Research

15 Pages

Elm Wealth examines how combining value and momentum signals across asset classes may improve long term portfolio outcomes. The paper argues simple, long only allocation shifts added roughly 266 basis points annually from 1975 to 2013, challenging the idea that passive diversification alone is sufficient.

Key Takeaways

Combined Factor Edge: Pairing value and momentum increased annual returns by 266 basis points versus static allocations between 1975 and 2013 while also improving Sharpe ratios.
Momentum Outperformance: Momentum based scaling alone outperformed static portfolios by 155 basis points annually, suggesting trend persistence mattered across 12 major asset classes.
Value Allocation Discipline: Value driven reallocations added 86 basis points annually and avoided excessive exposure to overheated markets like Japan’s nearly 100x earnings bubble in 1989.
VIEW FULL REPORT

Join our newsletter to have all of this content + Exclusive Newsletter Bonus Content delivered to your inbox every week

Related Content

Portfolio Management
Do Podcasts Move the Stock Market?
Jun 2026
Portfolio Management
The Faucet and the Well: Cash Flow With a Lower Tax Bill
Jun 2026
Pension Funds & Endowments
US Endowment Study: Top 17 Funds Asset Allocation, Risk, and Risk-Adjusted Returns
Jun 2026

The information contained in this communication is of a general nature for informational purposes only, and does not constitute financial, investment, tax or legal advice. The information contained within this communication reflects the opinions of those referenced herein, and do not reflect the opinions of The Idea Farm, L.P. and its affiliates. Such opinions expressed herein are as of the date of production and are subject to change at any time without notice due to various factors, including changing market conditions or tax laws. Where data or information prepared by third parties is presented, no representation, warranty, or undertaking, expressed or implied, is given to the accuracy or completeness of such information by The Idea Farm, L.P. or any other person. While such sources are believed to be reliable, The Idea Farm, L.P. does not assume any responsibility for the accuracy or completeness of such information and does not undertake any obligation to update the information contained herein as of any future date. Any links to third party websites are offered only for use at your own discretion. The Idea Farm L.P., and its affiliates, are separate and unaffiliated from any third parties listed herein and are not responsible for their products, services, policies or the content of their website. All investments are subject to varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy or product referenced directly or indirectly in this communication will be profitable, perform equally to any corresponding indicated historical performance level(s), or be suitable for your portfolio. Past performance is not an indicator of future results.

Scroll to Top