Momentum Score

2022년 1월 25일

Momentum is the tendency of assets that have gone up in price to continue going up in price - and for assets that have gone down in price to continue going down in price. The reasons behind it are not well understood by academics, but momentum is a property that exists across geographies and asset classes.

The Momentum Score is a system that scores companies based on their one year total returns, excluding the last month of returns. In other words, a momentum score for today will be based on the total returns of a stock from 12 months ago today to one month ago today.

Our Momentum Score 13612W has the following composition:

MS 13612W = 12 * Roc(1) + 4 * Roc(3) + 2 * Roc(6) + 1 * Roc(12)

with ROC = (p0/pt) - 1, where pt equals price p with a t-month lag