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You are managing a portfolio and considering whether to adopt either one of two trading strategies. In the value strategy, you would hold a portfolio

You are managing a portfolio and considering whether to adopt either one of two trading strategies. In the value strategy, you would hold a portfolio consisting of the 300 stocks with the highest book-to-market ratio. In the seasonality strategy, you would hold a portfolio consisting of the 300 stocks with the highest returns in the upcoming calendar month of the previous year. In both cases, you would rebalance portfolios at the end of each month. Suppose you forecast that both strategies would earn the same average monthly return (before trading costs) and same monthly standard deviation. Which strategy would you follow and why?

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