The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager’s Perspective

European Financial Management, Forthcoming

44 Pages Posted: 9 Jul 2010 Last revised: 3 Oct 2013

See all articles by Daniel Giamouridis

Daniel Giamouridis

Bank of America - Bank of America Merrill Lynch; City University London - Cass Business School - Faculty of Finance; EDHEC Risk Institute

Chris H. Montagu

Citi Investment Research

Date Written: July 8, 2010

Abstract

Valuation signals have been among the most popular between equity portfolio managers. Given the large variation of techniques and theories with regard to how value is measured, this study investigates the efficacy of alternative value measures. We consider a cross section of simple and sophisticated alternative measures and focus on comparison metrics of primary interest to equity portfolio managers. Our results show that sophisticated valuation models are superior – although not universally – relative to simple valuation models in many respects. Thus, we conclude that sophisticated models have interesting attributes and, in general, should be considered as an additional if not primary perspective on equity valuation and portfolio management.

Keywords: Capital markets, Valuation, Market efficiency, Portfolio Strategies

JEL Classification: G11, G12, G14, M41

Suggested Citation

Giamouridis, Daniel and Montagu, Chris H., The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager’s Perspective (July 8, 2010). European Financial Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1636248

Daniel Giamouridis

Bank of America - Bank of America Merrill Lynch ( email )

United Kingdom

City University London - Cass Business School - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain

EDHEC Risk Institute ( email )

Lille
France

Chris H. Montagu (Contact Author)

Citi Investment Research ( email )

33 Canada Square
Canary Wharf
London, E14 5LB
United Kingdom

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