RT Journal Article
SR Electronic
T1 Price and Momentum as Robust Tactical Approaches to Global Equity Investing
JF The Journal of Investing
FD Institutional Investor Journals
SP 80
OP 91
DO 10.3905/joi.2010.19.3.080
VO 19
IS 3
A1 Owain ap Gwilym
A1 Andrew Clare
A1 James Seaton
A1 Stephen Thomas
YR 2010
UL https://pm-research.com/content/19/3/80.abstract
AB This article investigates the performance of momentum and timing approaches for investing across 32 international equity markets, adding to a growing body of literature, which includes Siegel [2002] and Faber [2007, 2009], using data back to 1971. Momentum strategies are found to be profitable using a global portfolio, although the outperformance has diminished somewhat in the last two decades. The authors find that a trend following method significantly reduces the volatility of international equities and provides superior risk-adjusted returns compared to a conventional buy-and-hold method. Finally, the authors observe that the performance of portfolio momentum “winners” can be improved still further by the addition of a trend following filter.TOPICS: Global markets, performance measurement, portfolio construction