momentum investing
Volume-confirmed momentum on Canadian equities from 2001 to 2025: 9.25% CAGR vs 4.75% for the TSX Composite, +4.49% annual excess return, Sharpe 0.428, and 32.4% down capture — the lowest of any exchange in this study. The commodity-driven TSX provides natural decorrelation.
momentum investing
Same strategy, 17 global exchanges, 25 years. Volume-confirmed momentum returned +7.34% excess vs OMX Stockholm 30, +6.0% vs FTSE 100, but -0.97% vs Sensex in India and -0.92% vs S&P 500 in the US. The factor works where institutional volume is informative — and fails where it's noise.
momentum investing
Volume-confirmed momentum on Indian equities from 2001 to 2025: 12.21% CAGR with 70.6% down capture. Strong absolute returns, but the Sensex returned 13.18% over the same period. The factor provides downside protection but doesn't beat the index.
momentum investing
Volume-confirmed momentum on Swedish stocks returned 11.02% annually from 2001 to 2025, +7.34% over the OMX Stockholm 30 (3.68% CAGR). Sharpe ratio of 0.487 — highest of 17 global exchanges. Down capture of 34.75% and 29% cash periods define the strategy: defensive in crises, strong when invested.
momentum investing
We added volume confirmation to 12-month momentum on US stocks: rising 3-month volume, positive earnings, positive cash flow. From 2001 to 2025, the strategy returned 7.66% annually vs 8.59% for SPY — with 148.3% down capture. Volume signals are noise in the world's most traded market.
momentum investing
We ran pure 12-month price momentum on 18 exchanges worldwide. 7 of 17 comparable exchanges outperform SPY. India (NSE) leads at 17.68% CAGR with +9.91% annual excess. Germany has the best Sharpe at 0.552. US delivers -3.34% drag with 162% down capture. The pattern is geographic, and it maps...
momentum investing
Pure 12-month price momentum on XETRA stocks from 2000 to 2025 delivered 12.51% CAGR with a Sharpe of 0.552, the highest risk-adjusted return in an 18-exchange global study. The strategy outperformed the DAX by 7.45% annually with a max drawdown of -43.88% vs the DAX's own -55.38%.
momentum investing
Pure 12-month price momentum on NSE stocks from 2000 to 2025 returned 17.68% annually, +6.33% per year over the Sensex. The portfolio captured 120% of the Sensex''s upside with only 61% of its downside. India is where the momentum factor works.
momentum investing
Pure 12-month price momentum on LSE stocks from 2000 to 2025 delivered 8.15% annually, +7.07% over the FTSE 100, with down capture of 61%. In most non-global-crisis downturns, the portfolio fell about 39% less than the FTSE 100. The UK is a consistent momentum market.
momentum investing
We ran pure 12-month price momentum (no quality filters) on US stocks from 2000 to 2025. The strategy returned 4.43% annually vs 7.77% for SPY, with 162% down capture and a near-zero Sharpe. The most studied momentum market offers the least reward.
momentum investing
We backtested quality + momentum on 17 exchanges worldwide. India leads at 19% CAGR. South Africa surprises with 16.2% down capture. Most developed markets underperform the S&P 500 — momentum adds return but crashes harder in downturns.
momentum investing
Quality + momentum on BSE+NSE from 2004 to 2025. 19.03% CAGR vs 7.75% SPY benchmark. 11.29% annual alpha, 64.4% down capture.