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Global Investment Returns Yearbook

GIRY 2008 finds momentum trading can deliver big profits to investors

Momentum trading involves buying past winners and selling past losers. It sounds too easy to be worth doing. In a well-functioning stock market, it should be impossible to make consistent profits from such a simple system. But new research reveals large potential gains from momentum trading.

The research appears in the 2008 edition of the ABN AMRO Global Investment Returns Yearbook. The Yearbook is the most comprehensive and authoritative work of its kind. It analyses total returns since 1900 for stocks, bonds, cash, foreign exchange and inflation in 17 major markets, covering North America, Asia, Europe and Africa.

Professors Elroy Dimson, Paul Marsh and Mike Staunton, of London Business School—study all 17 stock markets to update the international evidence on momentum. And in a completely new investigation, they go back to 1900 to see whether momentum worked in a previously unresearched era.

For more information see press release and view the synopsis below

GIRY report pdf1.8MB

Created: Thursday 14 February 2008

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