Quantitative Momentum
Quantitative Momentum is an investment strategy which selects for investment the stocks whose price appreciated the most during a period (usually the recent year, ignoring the most recent month).
Momentum is considered a primary stock factor (a.k.a anomaly, or smart-beta factor) affecting stock returns. Academic research and practitioners’ experience show that Momentum has been outperforming the stock indices all over the world since 1927. The top research on Momentum is summarized in a concise and digestible way in the 2015 book Quantitative Momentum, written by Dr. Wesley Grey and Dr. Jack Vogel.
Momentum has unique characteristics which make it compelling for every investor. It delivers ultra-high returns yet may come with extreme volatility. Also, it behaves differently than Value Investing portfolios and the general market due to its low correlation with them.
Aspiring investors can enjoy the ultra-high returns of momentum portfolios by using it as their primary investment vehicle, IF they can withstand its high volatility. Conservative investors could use momentum to diversify their value holdings and thus reduce the overall volatility of their portfolio (due to the low correlation of momentum and value).
Price and valuation multiples are updated in 20min delay.
Last update date – see rightmost column
The Terms in the table are defined in the Glossary.
How to use the Screener:
The stocks are sorted based on Momentum Quality Rank in descending order, with the best stocks on top. The Momentum Quality Rank is based on a proprietary algorithm that analyzes tens of fundamental and technical stock factors. The algorithm then ranks and sorts the stocks based on their analyzed quality. For example, a rank of 95% means that the stock has better quality than 95% of the stocks in the universe. Higher is better.
- Yearly Mom - The percentage change in stock price during the last year, excluding the last month.
- Yearly iMom Rank - The idiosyncratic momentum rank. It penalizes stocks with a high beta. higher is better.
Similarily for 6mo and 3mo Momentum.
Each column can be sorted by clicking on its title.
If you are new to this website, or Quantitative Investing, check out our Roadmap To Building a Winning Stocks Portfolio.
To build a diversified stocks portfolio based on this screener, we recommend using the Stock Lists for Quantitative Portfolios.
Learn More About Quantitative Momentum:
Read about the design of our proprietary Quantitative Value model in our article: Quantitative Momentum Strategy - What is it?
We recommend watching the lessons about Quantitative Momentum in our online course “How To beat the market with confidence” – Module 3, Lessons 5 and 6.
If you’re interested in QV+QM performance during 1999-2019, see our Quantitative Value & Momentum - Performance 1999-2019.