TY - JOUR T1 - Price and Momentum as Robust Tactical Approaches to Global Equity Investing JF - The Journal of Investing SP - 80 LP - 91 DO - 10.3905/joi.2010.19.3.080 VL - 19 IS - 3 AU - Owain ap Gwilym AU - Andrew Clare AU - James Seaton AU - Stephen Thomas Y1 - 2010/08/31 UR - https://pm-research.com/content/19/3/80.abstract N2 - This article investigates the performance of momentum and timing approaches for investing across 32 international equity markets, adding to a growing body of literature, which includes Siegel [2002] and Faber [2007, 2009], using data back to 1971. Momentum strategies are found to be profitable using a global portfolio, although the outperformance has diminished somewhat in the last two decades. The authors find that a trend following method significantly reduces the volatility of international equities and provides superior risk-adjusted returns compared to a conventional buy-and-hold method. Finally, the authors observe that the performance of portfolio momentum “winners” can be improved still further by the addition of a trend following filter.TOPICS: Global markets, performance measurement, portfolio construction ER -