(Harvest) A sophisticated DFA-focused advisor asked us to conduct some research on the following question: Are there additional portfolio diversification benefits to combining concentrated portfolios of value and momentum stocks relative to combining less concentrated portfolios of value and momentum stocks? In concrete terms, is combining a value fund with 300+ holdings (e.g., DFA Large Cap Value, DFLVX) with a momentum fund with 400+ holdings (e.g., AQR Momentum Fund, AMOMX), the optimal solution to capture the value and momentum expected risk premiums?
The Rebalance Bonus for Value and Momentum Porfolios
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