Many anomalies are based on firm characteristics and rebalanced yearly ignoring any information during the year. In this paper, we provide two dynamic trading strategies to rebalance anomaly portfolios monthly. For eight major anomalies, we find that dynamic trading strategies substantially enhance their economic value with improvements in the Fama and French five-factor alpha ranging from 0.40% to 0.75% per month. Our findings indicate that many well-known anomalies can be more profitable than previously thought if managed with our dynamic trading strategies. This much improved performance, which relies on both the anomalies and the trading strategies, raises a new challenge for theoretical explanations.

中文翻译：

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异常增强：投资组合再平衡方法

许多异常值基于公司特征，并在忽略年内的任何信息的情况下每年重新平衡。在本文中，我们提供了两种动态交易策略来每月重新平衡异常投资组合。对于八个主要异常，我们发现动态交易策略大大提高了其经济价值，Fama 和 French 五因子 alpha 的改善幅度从每月 0.40% 到 0.75% 不等。我们的研究结果表明，如果使用我们的动态交易策略进行管理，许多众所周知的异常可能比以前认为的更有利可图。这种依赖于异常和交易策略的大幅改进的性能对理论解释提出了新的挑战。