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Which of the strong momentum screens have been working the best?
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No. of Recommendations: 6
Not so many.

If you consider the sideways notion that very large firms must have been outperformers over time, then "market cap top 4" could sorta count as a momentum screen.
It has been pretty good the last four years, outperforming the S&P by about 8%/year.
It's a very long run underperformer by about 5%/year though. So I wouldn't want to bet on it.

That mismatch probably says something about stock markets in recent times.
To overgeneralize, no simple strategy has done well.

Jim
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thanks Jim
I am of thinking of buying top market cap 4.

It looks good.
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I would go in a small position.
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No. of Recommendations: 6
Momentum isn't dead yet!

Here is the standard RS100 momentum screen from the beginning of 2007.
Run weekly with a minimum 4 week hold and a hold till drop 15 to minimize
trading.
CAGR 18.2% with a 0.3% assumed slippage per trade.
MDD of -41%
UI 12.3
AT 11.5 (average > 1 month hold)

GSPC over the same period.
CAGR 5.96%
MDD -56.8
UI 16.5
AT 0%

http://gtr1.net/2013/?~RS-100:s20070103h5n4f0.30000::styp.a:...
RAM
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I am of thinking of buying top market cap 4.
It looks good.


You might want to rethink that carefully.

Since 1/4/2018:
JNJ -3.61%
XOM -5.18%
JPM -3.73%
AMZN 52.29%
AAPL 15.98%
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No. of Recommendations: 11
thanks Jim
I am of thinking of buying top market cap 4.

It looks good.



You're certainly welcome to do so, but bear in mind my suggestion was largely ironic.
It is a long term losing strategy. In fact, it's related to one of my favourite short strategies for hedging.

That this is a long run loser is a huge warning sign to stay away.
The fact that it has been working lately may be a sign of something "wrong" in the markets.
Perhaps it is a symptom of the late stages of a bull market that will soon have run its course.

Of course, maybe it will keep working for a while.

Jim
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No. of Recommendations: 7
... may be a sign of something "wrong" in the markets.

Ya think??

There is something "wrong" these days. Just about every screen I track has underperformed the S&P 500 for the last several years. And the MSCI, pretty much.

Dozens of screens, and they all hit a wall somewhere around 2009/2010.




I just don't understand why the world doesn't behave like I want it to, like it used to.
How does that saying go? "The market can stay irrational longer than..."
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No. of Recommendations: 20
In the last 10 years, Growth has beat Value. And Momentum has not worked. If you are looking for good recent performance (last two years), consider growth metrics (sales growth, R&D, FCF).

I plotted rolling 10 year returns of the Fama French Factors. Both Value and Momentum factors are near all time lows: about 2 standard deviations below average. Meanwhile the market is doing better than usual: about 0.5 standard deviation above average.

Mom is the average return on the two high prior return portfolios minus the average return on the two low prior return portfolios.
Mom = 1/2 (Small High + Big High) - 1/2(Small Low + Big Low).
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_...

Rolling 10 year return multiliers for FF factors. (Flat return is 1.0. Factor returns are market neutral (long/short). Monthly data from 1927 to June 2018.)

         10 yr    10 yr    10 yr    10 yr    10 yr
TR mult TR mult TR mult TR mult TR mult
month Mkt-RF SMB HML RF Mom
201806 2.66 1.24 0.85 1.03 0.65
avg 2.08 1.34 1.59 1.48 2.16
sd 0.99 0.48 0.40 0.41 0.86
min 0.54 0.58 0.74 1.01 0.26
nSD 0.6 -0.2 -1.9 -1.1 -1.7


nSD is (201806 minus avg) / sd

Mom Total Return Multiplier was 1.97 for 10 years from 199904 to 200903.
Mom Total Return Multiplier was 0.97 for 10 years from 199910 to 200909.
Much of this underperformance was due to the month April 2009, when the market neutral Mom was -34%.

month   Mkt-RF   SMB    HML    RF     Mom
199904 4.33 3.97 2.53 0.37 -9.07
199905 -2.46 3.43 2.4 0.34 -5.28
199906 4.77 3.06 -3.59 0.4 4.88
199907 -3.47 2.7 -0.82 0.38 1.59
199908 -1.38 -1.21 -1.38 0.39 2.91
199909 -2.81 3.35 -3.44 0.39 6.48
199910 6.13 -6.89 -2.93 0.39 5.46

200903 8.95 -0.09 3.53 0.02 -11.54
200904 10.19 4.83 5.46 0.01 -34.39
200905 5.21 -2.33 -0.21 0 -12.44
200906 0.43 2.61 -2.71 0.01 5.29
200907 7.72 2.07 5.28 0.01 -5.36
200908 3.33 -0.9 7.76 0.01 -8.83
200909 4.08 2.45 0.92 0.01 -4.93



portfoliovisualizer confirms that Value and Momentum factors had negative returns in the last 10 years.

Factor Returns (Apr 2009 - Feb 2019)
https://www.portfoliovisualizer.com/factor-statistics#analys...

                     Annualized
Factor Return 10 yr mult
Market 15.67% 4.29
Size (FF3) 1.19% 1.13
Size (FF5) 1.25% 1.13
Value -1.14% 0.89
Momentum -3.86% 0.67
Profitability 1.15% 1.12
Investment 0.33% 1.03
Short Term Reversal 2.62% 1.30
Long Term Reversal -2.63% 0.77



Using a momentum strategy used to be expensive, and finding a mutual fund with a high momentum factor loading was difficult. Now it is easy with very low trading costs and many ETFs tracking the strategy.
portfoliovisualizer has a table of over 6000 mutual funds, and over 200 have high momentum factor loading.
2018 was a bad year for momentum ETFs. For example, Invesco DWA SmallCap Momentum ETF DWAS was down 11%.
https://www.portfoliovisualizer.com/etf-and-mutual-fund-fact...
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No. of Recommendations: 4
Nice work borisnand, some relevant ETF's

        iShares Factor ETFs Theme                                 
Performance & Risk Sort SR(3y)
ETP Type, 1x, Not Leveraged, Not Inverse


Symbol ETP Name Style Market Market Market Market Tracking Efficiency
TR (YTD) TR (1 Yr) TR (3 Yr) TR (5 Yr) SD (3y) Sharp(3y Beta(3y) R2(3y) Error

SMMV ISHARES EDGE MSCI MIN VOL USA SMALL-CAP ETF Min-Vol 12.51% 13.82% -- -- -- -- -- -- 0.35 -2.22
DIVB ISHARES U.S. DIVIDEND AND BUYBACK ETF Other 15.70% 9.77% -- -- -- -- -- -- -- --
HYDB ISHARES EDGE HIGH YIELD DEFENSIVE BOND ETF Income 8.69% 5.93% -- -- -- -- -- -- 0.28 1.82
IGEB ISHARES EDGE INVESTMENT GRADE ENHANCED BOND ETF Income 5.65% 5.60% -- -- -- -- -- -- 0.16 0.58
XT ISHARES EXPONENTIAL TECHNOLOGIES ETF Other 17.68% 8.60% 19.13% -- 14.02 1.18 1.03 84.27 0.26 -0.28
USMV ISHARES EDGE MSCI MIN VOL USA ETF Min-Vol 13.42% 15.80% 12.67% 13.01% 9.79 1.14 0.70 80.70 0.07 -1.06
DGRO ISHARES CORE DIVIDEND GROWTH ETF Growth 13.18% 12.25% 15.03% -- 11.55 1.13 0.90 95.07 0.04 -0.14
IWY ISHARES RUSSELL TOP 200 GROWTH ETF Growth 17.58% 14.74% 17.73% 15.27% 14.37 1.08 1.10 91.53 0.10 -0.55
IWP ISHARES RUSSELL MIDCAP GROWTH ETF Growth 22.88% 14.76% 16.22% 12.03% 14.24 0.95 1.07 88.63 0.12 0.12
ACWV ISHARES EDGE MSCI MIN VOL GLOBAL ETF Min-Vol 9.93% 8.47% 9.19% 9.35% 8.52 0.94 0.60 76.40 0.27 -0.18
HDV ISHARES CORE HIGH DIVIDEND ETF Income 12.81% 14.09% 10.13% 9.56% 10.49 0.82 0.71 72.23 0.04 -0.61
IWO ISHARES RUSSELL 2000 GROWTH ETF Growth 20.08% 5.44% 16.11% 10.09% 17.05 0.80 1.18 74.67 0.12 -0.13
IWX ISHARES RUSSELL TOP 200 VALUE ETF Value 12.05% 7.34% 11.45% 8.43% 11.69 0.80 0.86 84.19 0.18 -1.31
BYLD ISHARES YIELD OPTIMIZED BOND ETF Income 5.57% 5.65% 3.62% -- 3.09 0.78 0.00 0.03 0.09 0.05
IWD ISHARES RUSSELL 1000 VALUE ETF Value 13.58% 6.52% 11.17% 8.28% 11.72 0.77 0.89 90.75 0.09 -0.82
LRGF ISHARES EDGE MSCI MULTIFACTOR USA ETF Multi 14.71% 3.68% 12.24% -- 12.57 0.76 0.95 88.78 0.08 -0.78
SMLF ISHARES EDGE MSCI MULTIFACTOR USA SMALL-CAP ETF Multi 15.30% 5.43% 13.91% -- 14.80 0.73 0.95 63.86 0.16 -1.13
DVYE ISHARES EMERGING MARKETS DIVIDEND ETF Income 10.89% 3.40% 14.67% 1.54% 15.89 0.71 0.86 45.59 0.95 -0.53
ACWF ISHARES EDGE MSCI MULTIFACTOR GLOBAL ETF Multi 14.32% -2.50% 11.32% -- 13.27 0.66 0.88 71.55 0.41 1.27
IWS ISHARES RUSSELL MIDCAP VALUE ETF Value 16.60% 4.66% 10.44% 7.87% 12.17 0.66 0.89 84.59 0.09 -0.92
ISZE ISHARES EDGE MSCI INTL SIZE FACTOR ETF Size 12.37% -2.04% 9.58% -- 11.86 0.64 0.61 55.68 0.85 -1.88
IWN ISHARES RUSSELL 2000 VALUE ETF Value 15.36% 2.06% 12.70% 6.77% 14.90 0.64 0.97 66.97 0.09 -1.03
AXJV ISHARES EDGE MSCI MIN VOL ASIA EX JAPAN ETF Min-Vol 8.93% -1.80% 9.42% -- 11.79 0.57 0.59 37.69 0.72 -1.63
JPMV ISHARES EDGE MSCI MIN VOL JAPAN ETF Min-Vol 2.76% -6.63% 6.23% -- 11.49 0.51 0.51 31.21 0.87 -1.97
EEMV ISHARES EDGE MSCI MIN VOL EMERGING MARKETS ETF Min-Vol 7.34% -2.56% 8.60% 3.16% 12.70 0.50 0.73 52.17 0.81 -0.03
ISCF ISHARES EDGE MSCI MULTIFACTOR INTL SMALL-CAP ETF Multi 12.73% -10.13% 9.50% -- 13.30 0.49 0.68 47.30 0.73 1.74
EFAV ISHARES EDGE MSCI MIN VOL EAFE ETF Min-Vol 7.86% -0.25% 5.97% 6.01% 10.02 0.47 0.58 51.94 0.59 -0.47
DVYA ISHARES ASIA/PACIFIC DIVIDEND ETF Income 9.00% -2.29% 8.34% -0.05% 12.92 0.41 0.69 44.77 0.82 -7.70
EUMV ISHARES EDGE MSCI MIN VOL EUROPE ETF Min-Vol 9.99% 0.46% 5.47% -- 12.34 0.31 0.60 37.18 0.52 -1.02

GD_
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No. of Recommendations: 7
Momentum on the bottom half of mcap stocks once you eliminate illiquid stocks below adv $100,000, mcap below $100m and price below $2, and add a "trending value" type screen as final step. Has worked since end of 2008:

cagr 22
sharpe 1.33
beta .81





https://gtr1.net/2013/?s20081231h22i126::excd.a:lt4:MktCap:b...
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No. of Recommendations: 5
Momentum works just fine. Just don’t do it like the big guys who are focused on strategies that can “scale” and be sold to others. Finding a good selection pool is probably the most important thing, the second is finding momentum measures that aren’t streaky as in sometimes they work well comparatively and other times they don’t. They should be consistent and work well in any favorable to momentum market type.
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"In the last 10 years, Growth has beat Value. And Momentum has not worked..."

This actually makes me feel better! I think I'm only 2-8 over the last ten years!

DoesMIWOrk
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Using musselmant's GTR1 link, but starting 20131231 with 0.4% friction, the return becomes 11.27%,
just a bit above the return that B&H SPY gives at 10.97% and well below the return of QQQ at
16.37%. So momentum definitely has slowed lately. On the other hand in some old tests I ran
using VL screens I found momentum screens profited the most from using a pair of bear catchers.

Since that may still be true, I'd suggest trying both $SPX>200-day SMA of $SPX, which is close to the test I called Z in the following link, together with the standard ema(9) of $NAHL new highs minus new lows test. That is, avoid the market when both say to stay out.

I would have done this here, but I don't recall how to add these properly in GTR1.


https://boards.fool.com/more-bear-catcher-stats-31221558.asp...

rrjjgg
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Sales growth rate and ROE still working pretty well as factors.

Jim
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Over the same 10 year period from 4/9/2009 3ptRelValue assuming a
0.3% Slippage had been respectable if not spectacular. I've been using
a modified version of this with results slightly less than the backtest.


w/o BCC w/ BCC GSPC
CAGR: 18.7 17.0 12.9
GSD(20): 19.3 18.8 13.6
LDDD3: 6.8 7.6 8.4
MDD: -26.5 -25.9 -19.8
UI(20): 7.1 8.1 4.4
Sharpe(20): 1.1 1.0 1.0
Beta(20): 0.9 0.8 1.0
AT: 11.4 11.7 0.0



Jim mentioned sales and ROE did well. The LowPS+ screen has also
held up decently ( CAGR 16.9 with 0.3% friction over the same period)

RAM
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Momentum works just fine. Just don’t do it like the big guys who are focused on strategies that can “scale” and be sold to others. Finding a good selection pool is probably the most important thing, the second is finding momentum measures that aren’t streaky as in sometimes they work well comparatively and other times they don’t. They should be consistent and work well in any favorable to momentum market type.

Just last week I got a copy of a couple of papers like this https://investresolve.com/blog/dynamic-asset-allocation-for-...

The lead-off paper was "global-equity-momentum-a-craftsmans-perspective.pdf" Lots of big words and 39 pages. Distilled down, the main point was the benefit of using "ensembles" with your momentum (and GEM) screens.

They use it in the same manner that another similar outfit used the word "tranche".

The idea is to mitigate the random luck-of-the-draw on calendar timing, where the CAGR of identical screens is different with a 1 or 2 week change in starting dates.

Bigword. From a practitioners standpoint, it means to effectively run several mini-portfolios simultaneously. For example, with different the lookback periods. One using 12 months, one using 10 months, one using 3 months. Split your screen up into 3 parts, one with each lookback. When it comes time to run the screen, you invest 1/3 according to each mini-screen. Most of the time, in a stable market, they will all be the same pick. But at market turning points you will shift a bit at a time into the "new" pick.

Hard to do with a small portfolio, the positions may be too small to make it worthwhile, commissions may be an issue.
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No. of Recommendations: 1
Example, last few weeks of GEM:
30 week lookback
3/15/19 AGG
3/22/19 AGG
3/29/19 AGG
4/05/19 VEA
4/12/19 VTI

43 week lookback:
3/15/19 VTI
3/22/19 VTI
3/29/19 VTI
4/05/19 VTI
4/12/19 VTI

Started off 50/50 AGG & VTI, now 100% VTI.
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My posted screen was top 10% but the screens on here pick 5 stocks, so here is just 5 stocks from the date picked earlier in this thread 20131231; it still gets 19.75% cagr, beating the S&P by enough to matter. Most if not all factors have been weak for years but momentum still has worked.


https://gtr1.net/2013/?s20131231h22i126f0.400000::excd.a:lt4...
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No. of Recommendations: 4
A fund I own, MTUM has beaten the s and p, by 3% per annum.

http://performance.morningstar.com/funds/etf/total-returns.a...
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