The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets Part 2

Abstract

Numerous writers over the last 25 years have documented the success of value and momentum investment strategies when applied over a wide selection of markets. In a paper in the December 2003 issue of this Journal, it was established that a number of simple implementations of these strategies performed particularly well across the major European markets during the period from January 1990 to June 2002. The purpose of this paper is to extend the previous analysis and examine strategies which combine value and momentum strategies within one portfolio. Indeed, there are reasons to think that such a combination will produce very attractive portfolios, and it is the intention in this paper to evaluate alternative ways of exploiting this investment opportunity.