Strategies · Core
Smart Factors Momentum plus Market Portfolio
Rotate smart-beta factors on their own momentum and blend the result with the market — a core-satellite factor timer.
Definition
Universe of factor ETFs or portfolios. Weight by trailing factor return (or a shrinkage of it), then mix with cap-weighted equity so you never go to a 0-beta residual-only book unless you choose to.
Why it matters
Pure factor-mom can be unhinged from the policy benchmark. The market mix is the mandate fix.
Case
A 100% factor-mom book in a style reversal month. The 60% market sleeve was the drawdown cap.
How to read it
Satellite weight, lookback, and costs of the factor ETFs (some are expensive). Factor mom still crashes at turns.
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