\n\tOh yes, it is.<\/p>\n
\n\tMultiple research papers show it is possible to apply momentum strategies to successfully rotate between equity styles (small cap value, large cap growth etc.). This approach gives investors an ability to exploit periods of strong performance of particular investment styles together with the possibility to move out of the style during periods of its underperfomance. And do you know what is the best news? It is simple. Various equity style portfolios are easily accessible via low cost ETFs. The practically zero correlation to broad equity market (in long-short version of this strategy) is an extra bonus which makes this strategy an easily accessible good portfolio diversifier.<\/p>\n
\n\tThe source paper written by Tibbs, Eakins, DeShurko<\/strong> can be found on the following web page: http:\/\/www.mta.org\/eweb\/docs\/pdfs\/2008DowAwardWinner.pdf<\/a><\/p>\n \n\tIndicative performance<\/strong> is over 9%<\/strong> and estimated volatility<\/strong> is around 16% <\/strong>which means Sharpe Ratio<\/strong> of 0.33<\/strong>. Although the Sharpe ratio isn't high, it is more than offset by the strategy's simplicity and low correlation with the equity market.<\/p>\n