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Article

Investing with Momentum: The Past, Present, and Future

John B. Guerard, Ganlin Xu and Mustafa Gültekin
The Journal of Investing Spring 2012, 21 (1) 68-80; DOI: https://doi.org/10.3905/joi.2012.21.1.068
John B. Guerard Jr
is director of quantitative research at McKinley Capital Management, LLC, in Anchorage, AK.
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  • For correspondence: jguerard@mckinleycapital.com
Ganlin Xu
is vice president of research and development at Guided Choice in San Diego, CA.
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  • For correspondence: help@guidedchoice.com
Mustafa Gültekin
is an associate professor of finance at the Kenan-Flagler Business School at the University of North Carolina–Chapel Hill in Chapel Hill, NC.
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  • For correspondence: gultekin@unc.edu
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Abstract

Stock selection models often use momentum, analysts’ expectations, and fundamental data. We found support for composite modeling using these sources of data for U.S. equities during the 1998–2007 period. We found additional evidence to support the use of Barra and APT multifactor models for portfolio construction and risk control. Three levels of testing of stock selection and portfolio construction models were developed and estimated. We created portfolios for the January 1998–December 2007 period. We report three conclusions: 1) Momentum investing was rewarded by the market in the United States from December 1928–December 2007; 2) Momentum can be combined with reported fundamental data—such as earnings, book value, cash flow, and sales—and analysts’ earnings forecast revisions in a stock selection model to identify mispriced securities; 3) the portfolio returns of the multifactor risk-controlled portfolio returns allow us to reject the data mining corrections test null hypothesis.

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The Journal of Investing: 21 (1)
The Journal of Investing
Vol. 21, Issue 1
Spring 2012
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Investing with Momentum: The Past, Present, and Future
John B. Guerard, Ganlin Xu, Mustafa Gültekin
The Journal of Investing Feb 2012, 21 (1) 68-80; DOI: 10.3905/joi.2012.21.1.068

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Investing with Momentum: The Past, Present, and Future
John B. Guerard, Ganlin Xu, Mustafa Gültekin
The Journal of Investing Feb 2012, 21 (1) 68-80; DOI: 10.3905/joi.2012.21.1.068
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  • Article
    • Abstract
    • EXPECTED RETURNS MODELING AND STOCK SELECTION MODELS: THE ADDITION OF PRICE MOMENTUM
    • EFFICIENT PORTFOLIO CONSTRUCTION
    • A FURTHER TEST OF DATA MINING CORRECTIONS
    • AN EXPOSURE TO MOMENTUM AND ITS IMPLICATIONS FOR PORTFOLIO RETURNS DURING 2008–2009
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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