The performance of value and momentum investment portfolios: Recent experience in the major European markets
- PDF / 229,546 Bytes
- 26 Pages / 599.146 x 764.598 pts Page_size
- 53 Downloads / 168 Views
Ron Bird* is an Emeritus Professor from the Australian National University where he taught from 1973 to 1989. In 1999, he joined the Finance and Economics School at the University of Technology, Sydney. In the interim, he held the following private sector positions: directing Towers Perrin’s asset consulting business in the Asia region; several management positions at Westpac Investment Management; co-founder of GMO’s fund management operations in Australia. He remained an academic consultant to GMO until the end of 2002, at which time he took up a similar role with MIR Investment Management.
Jonathan Whitaker is currently working as a research analyst with GT Capital in Melbourne having previously been a research associate in the Finance and Economics School at the University of Technology, Sydney. He holds an honours degree in physics from UTS and a Masters in Statistics from the University of New South Wales. He held a number of positions in medical physics before taking up his current position. *School of Finance and Economics, University of Technology, Sydney, PO Box 123, Broadway, NSW 2007, Australia Tel: ⫹612 9514 7716; Fax: ⫹612 9514 7711; e-mail: [email protected]
Abstract Value and momentum investing are two approaches to investing which have been increasingly utilised either overtly or covertly by fund managers. Consistent with their increasing popularity, a number of academic studies have found such strategies capable of outperforming traditional benchmarks. The majority of these studies have been focused on the US market and covered the 1980s and 1990s, during which time there was a consistent upward trend in stock prices. In this paper the authors examine a wide selection of value and momentum strategies applied to the major European markets over the period from 1990 to 2002. This period captures a large upward movement followed by a significant correction. The authors find strong evidence that certain implementations of value and momentum investing performed particularly well over this period across the European markets, with the outperformance from value being confined to the correction period, while that from momentum occurred during the run up during the 1990s. Keywords: value investing, momentum investing, European markets, performance
Introduction Over the last 25 years there have been numerous studies that have identified various market anomalies, many of which have given rise to a new quantitative investment strategy. This paper concentrates on the two most prolific of these strategies: value investing and
䉷 Henry Stewart Publications 1479-179X (2003)
momentum investing, whose performance is evaluated in the major European markets over the interesting period from January 1990 to June 2002. The first decade of the sample period was characterised by a consistently rising market, with the European markets rising on average by 12.5 per cent per annum
Vol. 4, 4, 221-246
Journal of Asset Management
221
Bird and Whitaker
but this period was followed by a rapid (still on-going) market cor
Data Loading...
