Conditional style rotation model on enhanced value and growth portfolios

the European experience

Ron Bird*, Lorenzo Casavecchia

*Corresponding author for this work

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This article analyses the extent of the excess returns that can be generated within the European markets by rotating one's portfolio between value and growth stocks. Academic and professional attention has been devoted in the past to the analysis of the potential value-enhancement generated by rotation strategies based on macroeconomic models and applied to value and growth portfolios and/or indexes. We demonstrate that such models can be employed successfully to rotate between value and growth portfolios that are formed using traditional valuation metrics. However, we find that the value-enhancing potential of such rotation strategies is eroded when the value and growth portfolios are themselves enhanced using market sentiment and financial health indicators.

Original languageEnglish
Pages (from-to)375-390
Number of pages16
JournalJournal of Asset Management
Volume11
Issue number6
DOIs
Publication statusPublished - Feb 2011
Externally publishedYes

Fingerprint Dive into the research topics of 'Conditional style rotation model on enhanced value and growth portfolios: the European experience'. Together they form a unique fingerprint.

Cite this