Combining Growth and Value strategies

When the blue line is going up, growth stocks are working. When it is going down value stocks are working.

Re-balance your portfolio when the green line goes above 50 and then goes below it.

Or when the green line goes below -50 and then goes above -30. There is an orange line at -30 to show the transition. The +50 and -50 on the green line are extreme zones indicating a transition. No need to rebalance if the difference between the position weights from the desired weight is less than 1%. This will reduce unnecessary transactions.

From a quantitative point of view, growth (momentum) and value are negatively correlated. Clifford Asness et al. found value to have a -0.4 correlation with growth (momentum). A correlation of -0.4 means that when growth zigs, value has a tendency to zag. Owing to this lack of correlation, combining growth with value results in diversification benefits. This can reduce both volatility and turnover compared to a pure growth or value portfolio. It is more important to incorporate growth and value strategies rather than seek the exact optimal mix. While growth and value are negatively correlated, during a bear market both portfolios fall.