Systematische Überrenditen mit Standardstrategien Eine empirische Untersuchung von Value- und Growth-Investmentstrategien am deutschen Aktienmarkt

This study examines chances to achieve excess returns at the German stock market since 2002. We use well-known value investing (P/E, P/B, P/S) and growth investing strategies (profit margin, PEG, RSI). If such momentum strategies are successful they contradict market efficiency. Markets are considered to be close to efficient. However, momentum strategies are used and show positive results. In this study we used momentum strategies following simple rules. There is a single revision of the portfolio every year. The portfolio could be held between one to five years. Thereby, transaction costs are extremely low – in a narrower as well as in a broader sense (i. e. costs for trading and decision making costs). We examined German stocks between 2001 and 2016 which were listed in the four big German stock indices (DAX, MDAX, SDAX, TecDAX). P/B and P/S optimized portfolios show an obvious excess return of up to 10 % p. a. over the entire considered period, so we could confirm the results of ARTMANN ET AL. (2012). However, we received the most significant excess return with the one year portfolio of relative strength. As a second step, we combined the successful value strategy of P/B investing with sovereign bonds to simulate a balanced portfolio. The excess return is high while at the same time reducing the risk compared to the simple P/B strategy. In contrast to results of some other research, momentum strategies are not always successful. Some of them achieve negative excess returns. But all unsuccessful strategies in this survey are based on the P/E ratio. Therefore other research should figure out if the widely used R/E ratio is a successful trading strategy at all.