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

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