RT Journal Article
SR Electronic
T1 Global Momentum Strategies
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 23
OP 39
DO 10.3905/jpm.2005.470576
VO 31
IS 2
A1 John M. Griffin
A1 Xiuqing Ji
A1 J. Spencer Martin
YR 2005
UL https://pm-research.com/content/31/2/23.abstract
AB Here are some practical perspectives on momentum investing in stocks internationally. Momentum is generally more profitable on the long side than on the short side, making it accessible to a broad range of institutional capital, and both price and earnings momentum profits are significant globally. Earnings momentum internationally is distinct from price momentum; using price and earnings momentum in conjunction produces greater economic profits. Momentum profits co–move more weakly across markets than market indexes. Interestingly, while market correlations are much higher in down markets than in up markets, momentum correlations are low under both market conditions. There is no appreciable difference in momentum strategy profitability in up and down markets, which means timing is less important to momentum traders. Finally, momentum strategies are not riskless? there are often periods of several months when they have netted low or negative returns. The findings altogether suggest that momentum is useful in international portfolio management, but it should be implemented very thoughtfully.