The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager’s Perspective

Valuation signals have been among the most popular with equity portfolio managers and have recently attracted significant interest from cross-asset managers.

Author(s) :

Daniel Giamouridis

Research Associate, EDHEC-Risk InstituteAssistant Professor of Finance, Athens University

Chris Montagu

Director and Head of Global Quantitative Research - Europe, Citi Investment Research

Presentation :

Given a large variation of techniques and theories with regard to how value is measured, this article investigates the efficacy of alternative value measures. We consider a cross-section of simple and sophisticated alternative measures and focus on comparison metrics that are of primary interest for equity portfolio managers. Our results show that sophisticated valuation modelsalthough not universallyare superior to simple valuation models in many respects. Thus, we conclude that sophisticated models have interesting attributes and in general should be considered an additional if not primary perspective on equity valuation and portfolio management.
Pdf
The Sophisticated and the Simple: The Profitability of Contrarian Strategies fro...
(857.25 KB)
Type : Working paper
Date : le 29/06/2011
Extra information : For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School. 
Research Cluster : Finance

See Also

- 22-06-2017
Peter Daly and Dennis Davy, professors at EDHEC Business School specialised in Language...
Financial Times ranking 2017: #1 Master in Finance Worldwide
- 19-06-2017
EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance...
EDHEC Business School partners with Viva Technology,  Europe’s Premier Start-ups Trade Show
- 16-06-2017
Viva Technology is one of a kind, an exhibition of the most innovative products and...
EDHECInfra is releasing 384 infrastructure debt and equity indices
- 13-06-2017
EDHEC Infrastructure Institute-Singapore (EDHECinfra), in partnership with the Long-...