Portfolio Management of High Growth Firms and Technical Buy Points

Authors

  • Matt Lutey Indiana University Northwest
  • David Rayome Northern Michigan University

DOI:

https://doi.org/10.33423/jabe.v22i4.2905

Keywords:

Business, Economics, investing strategies, finance, can slim, fundamental analysis, technical analysis

Abstract

This paper shows that current earnings and prices at or near new highs can be combined with the Average Directional Index (DM) technical indicator to generate excess return in the market. Excess returns are statistically significant via difference in means tests (robust to recession only periods, and additional timeframes) and CAPM, Fama and French 3 and 5 factor models. The model is robust to alternate weight specification and has consistent results across multiple start dates. The system is replicable and has a win rate of 63% turning $100,000 into $33,000,000. It is constructed without lookahead bias.

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Published

2020-08-04

How to Cite

Lutey, M., & Rayome, D. (2020). Portfolio Management of High Growth Firms and Technical Buy Points. Journal of Applied Business and Economics, 22(4). https://doi.org/10.33423/jabe.v22i4.2905

Issue

Section

Articles