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Hillsdale and CFA Society Toronto Announce Winner of 2017 Canadian Investment Research Award
$10,000 Prize Awarded to Finance Research Paper Based on 50 Year Study
TORONTO, Feb. 22, 2017 /CNW/ – Congratulations to the winners of the 7th Annual CFA Society Toronto & Hillsdale Canadian Investment Research Award. The award winning paper “Dominance of Hybrid Contratum Strategies over Momentum and Contrarian Strategies: Half a Century of Evidence” was submitted by Dr. Kobana Abukari, Assistant Professor of Finance at Laurentian University, and Dr. Isaac Otchere, Professor of Finance at the Sprott School of Business, Carleton University.
“The authors have discovered that a hybrid of short term momentum and long term reversal strategies offers superior rewards than either one in isolation. Their findings are robust over 50 years of testing in Canada and contribute to the solid base of evidence for the success of multiple time horizon investment strategies,” said Chris Guthrie, CFA, President and CEO, Hillsdale Investment Management Inc.
CFA Society Toronto and Hillsdale Investment Management Inc. will award a $10,000 prize to the winners on 23 February 2017 at CFA Society Toronto’s Annual Awards Reception. The research paper was selected by a panel of judges from among 11 very competitive papers submitted by academics from top business schools in the world as well as practitioners of leading investment firms in Canada.
“At its roots, Hillsdale believes in and supports applied investment research and this year’s winning paper reflects our beliefs. We are very proud to be working with CFA Society Toronto and appreciate the high caliber of submissions that were received,” said Harry Marmer, CFA, Executive Vice President, Hillsdale Investment Management Inc.
The abstract of the paper: “We evaluated several investment strategies using data on over 3,500 stocks from 1956 to 2015 and find that hybrid investment strategies ranked as contrarian strategies (over the long term) but held as momentum strategies (over the medium term), what we call contratum strategies, outperform traditional momentum and contrarian strategies. The top performing strategy, a contratum strategy ranked over 60 months and held over 3 months, earned a statistically significant continuously compounded monthly return to a hedged portfolio (of losers minus winners) of about 1.1%. In contrast, a traditional momentum strategy generated significant returns of 0.5% per month for a hedged portfolio of winners minus losers, while a traditional contrarian strategy generated a significant hedged portfolio return of 0.7% per month. Our results are robust across size groups, risk, economic states, and sub-periods. Thus, the performance of the momentum, contrarian and hybrid contratum strategies are not crowded out by documented anomalies such as the size effect, January effect or macroeconomic factors. Since it is possible to identify, ex-ante, the losers and winners of the hybrid investment strategies based on past returns, our results can be used as part of a replicable investment strategy.”
“We are excited about our study because with investors’ desire to outperform the market showing no signs of abating, our findings that hybrid contratum investment strategies dominate the widely-implemented momentum and contrarian strategies provide another avenue for investors to consider. Also, with investment horizons decreasing, the shorter holding periods of contratum strategies could make them more appealing to investors across the spectrum.” said Dr. Kobana Abukari and Dr. Isaac Otchere.
To view a copy of the paper click here.
About Hillsdale Investment Management Inc.
Founded in 1996, Hillsdale Investment Management Inc. is one of Canada’s premier investment boutiques, managing over $1.6 billion in equities and absolute return strategies for institutional and private wealth investors. Hillsdale’s proprietary investment process utilizes the best of fundamental, quantitative and capital market research. With over 20 years of experience in disciplined active investment management, Hillsdale is committed to producing the highest quality investment strategies for its clients.
About CFA Society Toronto
CFA Society Toronto supports the professional and business development of over 9,000 CFA® charterholders in Toronto, making it the largest society of CFA charterholders, globally. We provide members with a local perspective on a global designation, including: educational programs, sponsored events, job postings, quarterly newsletters, a comprehensive affinity program and networking opportunities. A not-for-profit organization, CFA Society Toronto is affiliated with CFA Institute, the global body that administers the Chartered Financial Analyst® curriculum and sets voluntary, ethics-based performance-reporting standards for the investment industry. CFA Society Toronto’s members are leaders in ethics in the financial community. For more information, please refer to www.cfatoronto.ca.