1) Value investing strategy
Basis of Belief
Value investing strategy targets stocks that are undervalued relative to their intrinsic values. We believe that value investing has outperformed historically because greater returns can be generated from buying undervalued companies that are fundamentally good. These companies may be experiencing temporary difficulties and ignored by investors, leading to a cheaper stock price. But with a good foundation, such business will improve, and stock price will eventually revert to its fair value. Thus, the investment returns are manifold.

we assign Piotroski F-Score to the stocks. Using the Piotroski F-Score helps us to avoid in investing in companies that are cheap because their fundamentals have deteriorated, instead it identifies cheap companies that have strong fundamentals.

The F-score consists of 3 key criteria; profitability, leverage and liquidity and lastly, operational efficiency. The rationale behind these criteria as follows. A firm with positive operating cash flow despite falling earnings suggest ability to generate funds through operations. A firm with higher leverage suggests a deterioration of liquidity and is a bad signal. A firm with better margins and require less working capital suggests ability to cut costs and ability to use less resources.

2) Momentum investing strategy

Basis of Belief
Momentum investing follows trends in the market by taking a long position in high-returning assets while short-selling those which are on a downward trend. It is based on the assumption that recent return trends will persist into the future.

3) Benefits of Combining Value and Momentum Strategies

Value and momentum strategies are often combined as they tend to perform at different stages of the market cycle. This helps to smooth long-term performance and lower volatility risk. On top of that, studies have shown that based on historical performance, there is a negative correlation between these two strategies. Therefore, by combine these two strategies, we will be able to achieve a higher Sharpe ratio.

This momentum factor takes the change in price over the past year, up until a month ago, and standardizes it over the change in price over the last month. This allows it to account for any changes over the past month and use them to temper its expectations of future movement.

The momentum factor captures the difference in returns between stocks on an upswing (winner stocks) and stocks on a downswing (loser stocks) over a trailing 11-month period.

Since it is discovered that stocks are actually mean reverting in the last month, the last month price change is subtracted from the annual momentum. This will allow for more accurate prediction of riding on the wave .

Future Performance:
We reiterate our believes in each strategy; Value delivers superior performance because buying good companies facing temporary distress is less risky but at the same time, acknowledge that Momentum is likely to remain strong given the low interest rate environment. We believe our hybrid strategy will continue to outperform because 1) it is difficult to know when value or momentum will outperform and 2) a combination of both strategies produces a higher Sharpe ratio than either strategy alone.