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Practical Applications

Practical Applications

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Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios

Andrew Clare, James Seaton, Peter N. Smith and Stephen Thomas
Practical Applications 8 (1) DOI: https://doi.org/10.3905/pa.8.1.375
Andrew Clare
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James Seaton
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Peter N. Smith
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Stephen Thomas
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Practical Applications Summary

In When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios, which appeared in the August 2019 issue of The Journal of Investing, Andrew Clare, James Seaton, Stephen Thomas (all at Cass Business School, City University), and Peter Smith (University of York) investigated the relative performances of value, growth, and two types of momentum (relative and absolute) in developed and emerging international equity markets. The authors found that, in general, value outperforms growth; however, applying momentum filters to both types of portfolios can improve the performance of growth portfolios to rival that of value portfolios. They suggest that investors consider applying momentum filters to growth portfolios to improve their performance.

TOPICS: Factor-based models, performance measurement, emerging

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Practical Applications
Vol. 8, Issue 1
31 Jul 2020
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Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios
Andrew Clare, James Seaton, Peter N. Smith, Stephen Thomas
Practical Applications Jul 2020, 8 (1) DOI: 10.3905/pa.8.1.375

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Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios
Andrew Clare, James Seaton, Peter N. Smith, Stephen Thomas
Practical Applications Jul 2020, 8 (1) DOI: 10.3905/pa.8.1.375
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