Research background: Since the publication of Markowitz’ Portfolio Selection Theory, researchers and practitioners have been searching for the optimal structure of investment portfolios. An unlimited number of portfolio-based investment strategies have been created since 1952. However, none of these strategies seem to continuously generate overperformance over a long time period. This may also be due to the strong dynamics of economic development and other external factors. Purpose of the article: The aim of this article is to analyze which strategies are successful in generating winning portfolios in times of crisis. Three types of crises are considered: first, the bursting of the dot-com bubble in 2001, second, the financial crisis of 2008, and finally, the performance impact of the corona crisis. Methods: The data of the S&P 500 and STOXX Europe 600 companies are analyzed. The first step is the statistical review of the performance of companies in different periods with the focus on the analysis of the crisis years. Subsequently, the formation of portfolios is carried out according to known key figures such as high-low PE ratio, high-low market-to-book ratio, and others. In the form of a regression analysis, selected fundamental data are used to statistically check their relevance for performance. Findings & Value added: The results shows that all crises have similarities in certain factors. However, they also show that companies with a digital business model are able to manage crises better than those without a digital business model.

Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equities are selected within a formation period according to return criteria. The stocks with the highest and lowest returns on equities in the formation period are combined into winning and losing portfolios, each with the same number. The final step is the acquisition of the winning portfolio, which is held over the specified investment period, with the loser portfolio being sold short at the same time. The empirical analysis presented in this paper focuses on the success of the momentum strategy for the STOXX Europe 600 market over a formation and investment period of six months. Purpose of the article: The objective of this paper is to empirically test the above statements and assumptions. Portfolios are built up on a rolling basis over a period of six months and then observed with respect to their performance over a period from 1995 to 2000. The achieved returns are compared with a buy-and-hold strategy and empirically tested for return differences. Especially the years 2001, 2008, and 2020 as the crisis years of the dot-com bubble, the financial crisis, and the COVID-19 pandemic are focused on and discussed. Methods: The data of the period are examined for performance development in a database in the form of winner and loser portfolios. The returns are calculated as AR to a reference portfolio DAX. The returns are statistically tested for significant differences to a zero return using a t test. Findings & Value added: The results show the performance of the momentum strategy in the period from 1995 to 2000 for the stocks of the STOXX Europe 600. The strong fluctuations in the crisis years are notable. With few exceptions, the reference returns could only provide statistically non-significant results.