Among the various strategies studied in this paper, only momentum investing appears to earn persistently non-zero returns: from 1965 to 2014, the classical momentum strategy based on performance over the previous two to twelve months earned an average return of 1.57% per month (excluding...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...