This paper by Asness, Porter & Stevens (2000) examines return measures when explanatory variables into two industry-related components; within-industry variables and across-industry variables. This paper helps explain why Atlas uses short-term momentum within sectors, but short-term reversal within individual securities. It also elucidates the rationale for scoring momentum and value “within” sectors rather than across them.
Atlas Capital Advisors
We are an independent, fee-only registered investment advisor dedicated to providing unbiased advice to our clients. Our specialty is the design and management of sophisticated, tax-sensitive portfolios for individuals and institutional investors. We seek to produce desirable returns while minimizing costs through proven investment strategies that include separate equity and fixed income securities.
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Atlas Risk Advisor LLC
AtlasFX is the industry’s only all-in-one platform that helps you Access, Analyze, React to and Visualize your global currency risk.