Momentum
Playing The Bounce - With A Twist
The historical batting average of this strategy has been decent, with gains in 9 of 18 years along with “excess” returns over the S&P 500 in 10 of 18 years. The best Bounce seasons have occurred when the market was either down for the year through September, or up only modestly.
Industry Groups: No Need To Bottom-Fish
Buying global groups with strong price momentum has been a winning strategy. Will it continue?
Sector Performance and Beta Comparisons
There are some substantial deviations in sector performance depending on your constituents and weighting scheme while, simultaneously, betas are converging toward one another.
Major Trend Moves To Neutral, But Not All Hope For The Bulls Is Lost
Deteriorating Technicals drove the move to Neutral, but a new positive reading in the Attitudinal category gives some hope to the bulls.
The Downside Of A Domestic Focus
We weren’t prepared to find industry price trend persistence so much more predominant at the global level than it was domestically.
Value Vs. Momentum Performance
We see a strong and clear Poor-Value/Strong-Momentum pattern emerging, which could indicate a looming market top. While QE3 could disrupt it, the pattern looks unmistakable.
An “Oversold” Market Turns Up
VLT Momentum fired long-term BUY signals at the end of July on the Russell 2000, MSCI World Index and EAFE - and more signals could be coming…
Momentum Drive Returns; Correlations Increase
The worst performers are the first sell candidates for investors looking to shed assets.
Effective Momentum Driven Sector Rotation In Emerging Markets
Momentum has proven to be an effective factor in emerging market sector rotation strategies. Even better than in U.S. markets.
Very Little Price Pressure At Present
It is very difficult to find signs of accelerating inflation in today’s markets.
The Return Of Value And Growth?
Correlations finally drop during the October market rally. Both Value and Growth factors outperformed during the month. Some momentum factors have diverged… each is an atypical occurrence.
April Factor Performance: Talk About Boring
Very little to show for a month of solid market performance. Breaking the market down by capitalization yields some interesting results.
March Performance: Factors Continue To Lack Consistency… Except For Momentum
Momentum once again has the best performance. This out-of-favor factor has continued to outperform the rest of the factors.
Bull Market Extension?
VLT has turned up for most market indices. Even though it is still above the zero line, history shows that this signals an extension of the bull market.
Two Down… One To Go?
Doug Ramsey highlights the “point of recognition” in this month’s “Inside The Stock Market” section. This is the point of maximum market upthrust, the point at which even hardened pessimists become convinced that the economic recovery and bull market are for real.
January Performance: Quality and Size Take The Lead...Finally
Quantitative Factor review for January shows Large Caps, Quality, and Profitability factors finally performing well. It’s been over a year since stocks with better Profitability outperformed in an up S&P month.
Two Quant Themes With Significant Implications For 2011
Two Quant Themes With Significant Implications For 2011. We revisit studies from the past year that focused on Revenue Growth vs. Earnings Growth, as well as Momentum vs. Value.
Year In Review: Inconsistency Among Traditional Factors
Factor performance during 2010: A review of traditional quantitative factors and their performance for the year.
Market Action Signals Further Room To The Upside
Factor analysis shows that Momentum continued to be effective in November. Also, aggressive equity sectors have been outperforming the defensive ones. Both of these factors bode well for a continuation of the bull market.
Year To Date Update: Momentum Makes A Comeback
YTD the winner is momentum! This is slowly developing to the angst of many model-tweekers. Note though that how one defines momentum can make a difference in what you see.
Perception for the Professional
March 2026 Issue
Featured Articles
Sector Navigator
March 2026 Issue
