A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is
When Growth Beats Value: Removing Tail Risk From Global Equity Momentum Strategies
Social Science Research Network
We investigate the relationship between value, growth and momentum investment styles across a wide range of developed and emerging economy equity markets. As would be anticipated, value investing generally beats growth. We then determine whether the application of relative momentum or trend following filters can enhance the risk-adjusted performance for either value or growth investors. We find that both value and growth portfolios benefit from momentum filters but particularly the latter,doi:10.2139/ssrn.2436825 fatcat:yhxdwsthrje3dnv7jseh4eikca