The MA drives returns. The VIX protects against tail risk. Adding a VIX > 25 & rising exit cuts max drawdown from −31% to −22% at less than 0.5% CAGR cost. 28 variants tested across thresholds, moving averages, percentile ranks, and combined filters.
Systematic sweep across six parameter dimensions — MA period, concentration, lookback, market cap, skip month, and filter ablation. 6-month pure momentum (6-0) dominates conventional 9-1 across every metric. Not a Mag7 proxy: only 0.6 of 20 positions per month are Magnificent Seven stocks. 8 charts, 16 sections.
Jegadeesh-Titman 12-1, 6-1, 12-2, and Novy-Marx intermediate tested at >$200M, >$1B, and >$5B with monthly and annual rebalance. Plus value exclusion filters and MA200 overlay. Mom 6-1 >$5B delivers +13.5% CAGR. With exclusion filters and MA200: Sharpe 0.87, max drawdown −28%.
P/E, P/S, P/B, P/FCF, EV/EBITDA, Shareholder Yield, and Dividend Yield — each tested independently on quarterly TTM data (2005–2026). P/S is the only factor that works consistently (+6.1% spread). P/B is inverted (−3.8%). Shareholder Yield is strongly inverted (−7.4%). Year-by-year breakdowns, rolling 3- and 5-year windows, regime analysis.
O'Shaughnessy's Value Composite promised 18–21% CAGR. Three versions tested with quarterly TTM fundamentals (2005–2026). With annual rebalance (12 portfolios averaged): VC2 delivers +5.6% to +9.8% depending on market cap. Monthly rebalance improves to +10–12%. Real alpha exists but is a fraction of the book's claims.
Value screening (VC1/VC2/VC3) combined with 6-month momentum. Buy the cheapest 20%, pick the 25 with strongest momentum. TV3 (value + dividend yield + momentum) at >$5B monthly delivers +13.8% CAGR, +5.4% alpha, Sharpe 0.82. Momentum reduces drawdowns by 10–20pp vs pure value.