The Momentum Composite Indicator is designed to help you find stocks , with positive momentum, AND low volatility .
It does this by combining three momentum and one volatility ratio into one easy to use indicator.
How Momentum Composite is calculated
Momentum Composite Indicator is calculated as follows:
Step #1
Firstly, all the companies in the screener database are ranked individually by the following four indicators:
· Price Index 3m, (Three-month price momentum) - Higher is better
· Price Index 6m, (Six-month price momentum) - Higher is better
· Price Index 9m (Nine-month price momentum) - Higher is better
· Volatility 12m (Twelve-month price volatility) - Lower is better
Step #2
Secondly, the four rankings are combined into a single number for each company.
Step #3
Thirdly, the combined ranking is then recalibrated to ensure that the 1% top-ranked companies (best) receive a value of 1, the next 1% a value of 2, and so on, up to the 1% worst-ranked companies, which receive a value of 100.
This process results in a composite momentum value for each company in the screener, ranging from 1 (best) to 100 (worst).
How to use the ratio
Available as a screening ratio: Yes
Available as an output column ratio: Yes (Look for it under the Quality heading)
The Momentum Composite Indicator is available in both the current and historical screener, giving you access to daily updated as well as past data for back testing.
How to select the best Momentum Composite companies
To select the 10% of companies with the best Momentum Composite set the screener sliders from 0% to 10%.
Why Momentum and Volatility Matters
Momentum and volatility are powerful investment factors!
Research has shown that companies with strong momentum tend to continue their upward trajectory.
Similarly, research has shown that companies with low volatility continue to have low volatility.
By integrating this composite indicator into our screener, Quant Investing empowers investors to identify stocks with the potential for sustained growth and low volatility.
Tested and Proven
The effectiveness of the Momentum Composite Indicator is underscored by research, such as the work of O’Shaughnessy Asset Management. Their research found a composited approach to measuring momentum, like our Momentum Composite Indicator, led to annualized returns significantly higher than individual momentum factors.
At Quant Investing, we believe that by providing personal investors with cutting-edge tools and insights, we empower them to make more informed decisions and build robust high-performance portfolios.
Start Using it Today
Ready to explore the Momentum Composite Indicator?
Why not take a minute and sign up for our screener right now! It costs less than a cheap lunch for two and if you do not find it helpful, we give you all your money back, no questions asked.
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