momentum investing
We tested the Sector-Adjusted Momentum strategy on 14 stock exchanges worldwide from 2000 to 2025. The strategy buys stocks that outperform their own sector peers, not just the market. Moskowitz and Grinblatt (1999) showed that roughly half of momentum profits come from sector-level trends. Strip that out, and you'
momentum investing
We backtested the Sector-Adjusted Momentum strategy on US stocks (NYSE, NASDAQ, AMEX) from 2000 to 2025. The strategy buys stocks outperforming their own sector peers, stripping out sector-level trends to isolate company-specific momentum. The result: 6.20% annually versus the market's 8.01%. That's a 1.
momentum investing
We backtested the Sector-Adjusted Momentum strategy on Indian stocks (BSE and NSE) from 2000 to 2025. The strategy buys stocks that are outperforming their own sector peers, not just the market overall. The result: 25.62% annual return versus the S&P 500's 8.01%, with 22.
momentum investing
We backtested the Sector-Adjusted Momentum strategy on XETRA (German stocks) from 2000 to 2025. The strategy buys stocks outperforming their own sector peers on a 12-month return basis, stripping out sector trends to isolate stock-level momentum. The result: 10.29% annual return versus the S&P 500 benchmark'
momentum investing
The academic literature says momentum works everywhere. The data from 18 exchanges says it's more complicated. Pure 12-month price momentum (top 30 by 12M-1M return, semi-annual, no quality filters) was backtested across 18 exchanges covering every major equity market from 2000 to 2025. 8 exchanges outperform the S&
momentum investing
Pure 12-month price momentum is one of the most replicated factors in academic finance. Jegadeesh and Titman documented it in 1993 and the finding has held in 40+ countries for three decades. On US stocks, it doesn't work. The strategy returned 4.06% annually from 2000 to 2025,
momentum investing
The UK equity market doesn't generate as much momentum research attention as the US or India. That's a gap. Pure 12-month price momentum on LSE stocks from 2000 to 2025 delivered 10.82% annually, 3.08% above the SPY benchmark, with a down capture of 58.
momentum investing
Pure price momentum is supposed to work in emerging markets. India confirms the theory. Buying the top 30 Indian stocks by 12-month trailing return, semi-annually, delivered 22.74% annually from 2001 to 2025. That's +15% per year over the S&P 500 benchmark, one of the largest
momentum investing
German equities don't make many headlines in factor investing literature. Most momentum research focuses on the US, Japan, or global markets. The XETRA data tells a different story. Pure 12-month momentum on German stocks from 2000 to 2025 delivered 12.58% annually with a Sharpe ratio of 0.
momentum investing
We ran the same quality momentum strategy across 17 global exchanges over 25 years. Same rules everywhere: ROE > 15%, D/E < 1.0, positive net income, positive operating cash flow, gross margin > 20%, then rank by 12-month price momentum. Top 30 stocks, equal weight, semi-annual rebalancing. Contents
momentum investing
Quality + momentum is one of the most studied factor combinations in academic finance. Screen for financially sound companies, then rank by which ones are already trending upward. In theory, quality reduces your drawdown risk; momentum captures stocks that are already working. In practice on US equities, the combination delivered 8.
momentum investing
Sweden's stock market doesn't get much attention in factor investing research. Most papers use US data; most backtests default to the S&P 500 universe. But the Stockholm Stock Exchange has characteristics that make quality momentum work reasonably well: a cluster of high-quality industrial and