Just run the stock report for 10m - 150 Cap stocks on momentum only.
I'm real shocked by the performance even reducing the decline of the brexit vote.
Any thoughts on this?
indeed, but is it sustainable over a realistic investment horizon?
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Investor & Trader
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7 comments
Investor & Trader
I guess that is what I'm asking, although it is a momentum screen it is not just a typical price momentum screen because there are earnings upgrades etc, so I'm wondering if this would make it more robust.
To be fair this kind of return would need a considerable pullback to make the results average.
Are there any historical charts that show a standard momentum trading strategy over the long term? I would be interested to see the volatility beyond the 4 years shown here..
thanks
steviej
edit - you can do it by manipulating the URL. Neat trick
How did you filter it for small caps? I can only see an option to filter by greater than a given market cap.
whitmad
Hmm, I guess this is filtering on current momentum, i.e. reflecting growth that has already occurred. Doesn't mean the same will continue in future. What would be interesting, if it is possible, would be to look at performance based on what momentum was at some point in the past.
Edward Croft
Remember you'd have to factor in transaction costs for this kind of small cap strategy. Much depends on the spread costs in small caps. The 200% is unachievable. 100%+ though is unsurprising over that 4 year period.
We'll build in transaction costs in future... just not got time at the moment.
Nick Ray
Partly you are seeing a premium due to the increased volatility of these very small cap stocks. So in order to make these gains you will need to be able to tolerate very wide swings in price of the individual stocks in your portfolio without being able to say which (if any) will ultimately perform. The volatility premium can be very generous and I've wondered about it myself, but in practice it takes courage to pursue this strategy!
Investor & Trader
@Whitmad, this does reflect the momentum score at that moment in time, this is how the stockrank performance charts work.
