PT - JOURNAL ARTICLE AU - Andrew Clare AU - James Seaton AU - Peter N. Smith AU - Stephen Thomas TI - When Growth Beats Value: <em>Applying Momentum Filters to Growth and Value Portfolios</em> AID - 10.3905/joi.2019.1.086 DP - 2019 Jul 31 TA - The Journal of Investing PG - 69--84 VI - 28 IP - 5 4099 - https://pm-research.com/content/28/5/69.short 4100 - https://pm-research.com/content/28/5/69.full AB - This article investigates the relationship among Value, Growth, and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return “smart beta” indexes. As anticipated, Value generally beats Growth. A distinction is then made between relative momentum, where assets are ranked according to their performance against each other, and absolute momentum (sometimes known as trend following), where assets are categorized according to whether they have recently exhibited positive nominal return characteristics. The authors find that both Value and Growth portfolios benefit from momentum filters but particularly the latter. When they overlay simple absolute momentum on these factor indexes, it typically delivers a much more favorable investment performance than relative momentum, with considerably lower volatility and smaller drawdowns. Overall, with the help of momentum-based investment rules, they find that Growth can outperform both comparable buy-and-hold and Value investment styles, a result that is almost certainly robust to transaction cost considerations.TOPICS: Factor-based models, performance measurement, emerging