2015 - 18th Annual Steven Galovich Memorial Student Symposium

Presentation Title

The Best of Both Worlds: A Value and Momentum Strategy

Student Presenter(s) and Advisor

Cameron Severson, Lake Forest CollegeFollow

Location

Library 221

Abstract

There has been considerable research done on value investing strategies since the concept was first proposed by Benjamin Graham in 1934. The overall consensus is that simple value strategies can yield abnormal returns although some strategies capture more of the value premium than others and hence, experience greater returns. However, typical value investing strategies have some pitfalls that this analysis attempts to overcome by combining momentum indicators with a value strategy to identify financially sound companies. The presentation will discuss the strategy implemented and compare the risk-adjusted returns of this strategy relative to the returns that could have been earned by investing in a benchmark index over the same time period.

Presentation Type

Individual Presentation

Start Date

4-7-2015 9:00 AM

End Date

4-7-2015 10:15 AM

Panel

Financial Markets: Strategies, Policies and Economic Crises

Panel Moderator

Carolyn Tuttle

Field of Study for Presentation

Finance

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Apr 7th, 9:00 AM Apr 7th, 10:15 AM

The Best of Both Worlds: A Value and Momentum Strategy

Library 221

There has been considerable research done on value investing strategies since the concept was first proposed by Benjamin Graham in 1934. The overall consensus is that simple value strategies can yield abnormal returns although some strategies capture more of the value premium than others and hence, experience greater returns. However, typical value investing strategies have some pitfalls that this analysis attempts to overcome by combining momentum indicators with a value strategy to identify financially sound companies. The presentation will discuss the strategy implemented and compare the risk-adjusted returns of this strategy relative to the returns that could have been earned by investing in a benchmark index over the same time period.