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This article examines the added value of combining price momentum with various value strategies in the Finnish stock market during the period 1993-2008. The results show that taking into account the price momentum of value stocks enhances portfolio performance. Among the best-performing portfolios, the performance improvement resulting from the inclusion of a momentum indicator is the greatest for value portfolios that are formed on the basis of three-composite value measures. The risk-adjusted performance of the best value winner portfolios can be enhanced further by following the 130/30 long-short strategy. The best long-short portfolios significantly outperform the corresponding long-only value winner portfolios and more than double the average return of the stock market coupled with the volatility decrease.

This article examines the profitability of dual moving average crossover (DMAC) trading strategies in the Finnish stock market over the period 1996 to 2012. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks. The results show that their relative performance varies over time, whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios. Moreover, the great majority of 3020 DMAC strategies examined in this article outperform the corresponding buy-and-hold (B and H) strategy for both trading targets (i.e., OMX Helsinki 25 index and individual stocks included in the index) in out-ofsample tests. In addition, the decomposition of the full-sample-period performance into separate bull-and bear-period performance shows clearly that the outperformance of DMAC strategies over B and H strategy is mostly attributable to their better performance during bearish periods.

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