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Global Momentum Strategies: A Portfolio Perspective

34 Pages Posted: 4 Feb 2004  

John M. Griffin

University of Texas at Austin - Department of Finance

Susan Ji

College of Business, Governors State University

J. Spencer Martin

University of Melbourne - Faculty of Business and Economics; Financial Research Network (FIRN)

Date Written: July 15, 2004

Abstract

We provide practical perspectives on momentum investing in stocks internationally. First, momentum is generally more profitable on the long side than on the short side, making it accessible to a broad range of institutional capital. Second, both price and earnings momentum profits are significant globally. Third, internationally, earnings momentum is distinct from price momentum, and using price and earnings momentum in conjunction produces larger economic profits. Fourth, momentum profits have weaker co-movements across markets than market indices. Interestingly, while market correlations are much higher in down markets than in up markets, momentum correlations are low in both market conditions. Fifth, momentum strategies do not differ appreciably in profitability between up and down markets, which means timing is less important to momentum traders. Finally, momentum strategies are not riskless-historically there have often occurred periods of several months where they have netted low or negative returns. Altogether, these findings suggest that momentum is useful in international portfolio management, but its implementation should be thoughtfully considered.

Keywords: Momentum, Portfolio Management

JEL Classification: G12, G14, G15

Suggested Citation

Griffin, John M. and Ji, Susan and Martin, J. Spencer, Global Momentum Strategies: A Portfolio Perspective (July 15, 2004). Available at SSRN: https://ssrn.com/abstract=492804 or http://dx.doi.org/10.2139/ssrn.492804

John Griffin (Contact Author)

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)

HOME PAGE: http://www.jgriffin.info

Susan Ji

College of Business, Governors State University ( email )

1 University Parkway
University Park, IL 60484
United States

J. Spencer Martin

University of Melbourne - Faculty of Business and Economics ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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