Multi-cap Momentum Model
by Flameback Capital
Top 50 stocks that score high on momentum factor out of the universe of top 500 stocks.
About the smallcase
Top 50 stocks that score high on momentum based on the top 500 stocks by market capitalization.
Academic research has shown that momentum is one the persistent factor strategies and mid-cap stocks tend to outperform large cap stocks over a longer period.
Our statistical model not just looks at absolute return of the look-back period but also looks at the consistency and quality of the up-move. We prefer stocks that have had a gradual and persistent rally rather than sharp spikes.
The strategy re-balances every month to maintain a portfolio of the strongest momentum stocks.
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Understand smallcase costs and returns
Understand smallcase costs and returns
