THE VALUE OF MOMENTUM TO ACTIVE MANAGERS AND PLANNED SPONSORS IN AUSTRALIA.

In this paper we present some details of momentum investment hopefully of interest to fund managers and planned sponsors. The focus will be on momentum investment in Australia, but much of the discussion, and results, are applicable virtually everywhere. The academic literature considers many different types of momentum strategies, and we distinguish between academic and institutional momentum investment in section 2. In section 3, we discuss linkages between investor behaviour and momentum. We present information about the pattern of returns one might expect and market conditions that might help or hinder performance in section 4. Apart from being a style of investment, quantitative financial analysts (quants) also think of momentum as a factor; we shall discuss this briefly in section 5. We present some results in section 6 together with conclusions. [ABSTRACT FROM AUTHOR]