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Factor Friday: Factor Performance Driving US Momentum Stocks

Jan 18, 2019

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.
We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.

 

The Data Daily: Where the charts tell the story

This week's Factor Friday focuses on factor performance of US Momentum Stocks.

 

 

US Momementum Stocks Average Q1-Q5 Spread by Sector % - 1990 to Present

Market Segment Index Cross-Sec Energy Materials Industrials Cons Discretionary Cons Staples Healthcare Financials Info tech Comms Utilities Real Est
US Mid-Cap  S&P 400 0.71547501 0.481078 0.613501 1.401485 1.032063 0.2613 0.714751 0.454526 0.655135 -0.11437 0.244102 -1.08559
US Large-Cap  S&P500 0.5904056 -0.10609 0.61638 0.613189 0.732406 0.343528 0.675475 0.604658 0.479883 0.393973 0.398118 0.091539
US Small-Cap S&P 600 0.96279561 0.958472 2.230749 1.007922 1.131415 0.500354 1.341479 0.605127 0.841751 2.14337 0.631474 -1.78549

Source: S&P CapIQ

US Momementum Stocks Style Summary - 1990 to Present

Market Segment Index Cross Sectional Spread % Sector Neutral Spread %
US Mid-Cap  S&P 400 Price Momentum 0.715475008 0.710735041
US Large-Cap  S&P500 Price Momentum 0.590405599 0.539120474
US Small-Cap S&P 600 Price Momentum 0.715475008 0.710735041

 

Source: S&P CapIQ

 

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