2015: A momentous year on the ASX

Clive Gaunt

The Empirical Investor

Momentum is well documented in financial markets. In equity markets, momentum describes the tendency for share prices of stocks that have performed well over the past 6 or 12 months to out-perform over the next 6 to 12 months, and for past under-performers to under-perform in the near future. The debate continues as to whether the source of this abnormal performance is risk or human (mis) behaviour, and is far from settled. In the linked article I highlight the 2015 performance of various portfolios constructed as at 31 December 2014 on the basis of their past performance, and find that momentum was a prominent feature of the Australian market in 2015. In the article, I also construct new portfolios for 2016 and will follow them over the coming year. The full article is available in the attached PDF or via The Empirical Investor website: (VIEW LINK)


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The Empirical Investor

Clive is a Director of Ganes Capital Management Ltd and Ganes Investment Management Pty Ltd, which manages several Equities Funds and mandates. Clive is Senior Lecturer in Finance at the University of Queensland Business School in Brisbane...

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