No. of Recommendations: 8
Saw this article from Mark Hulbert (whose been rating newsletters forever) on a paper's different way to calculate momentum:
"We split up the standard momentum return over months t-12 to t-2 at the highest stock price within this formation period."
Did this make a difference? From the article.
“To appreciate the dramatic impact of changing the period over which momentum is defined, the authors of this study focused on the 10 individual months from the past century in which the traditional momentum strategy suffered its worst crashes. In those months the strategy’s average loss was 44.3%, which is huge over any period, much less one month. This is the reason why many investors are wary of momentum strategies. In contrast, the researchers’ alternate momentum strategy lost an average of only 2.4% during those same months.”
Here's a link to the paper:
https://www.sciencedirect.com/science/article/abs/...The full article is available on MarketWatch, Apple News, or, for a little while, at this msn link (no graphics though)
msn.com - Stocks for momentum traders to consider buying and to avoid or sell shortapple.news: 10 stocks for momentum traders to consider buying