When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios

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),...