Both Price Momentum and Earnings Momentum endured a tough quarter. Given that broad equity indices have been down in absolute terms over the period, these cyclical strategies can be expected to experience some underperformance. Whereas previous quarters saw Earnings Momentum (a sub-component of headline Momentum) and Price Momentum exhibit divergent performances, during Q3 we saw synchronised underperformance as investors disregarded companies with positive earnings sentiment. Typically however, earnings revision encompasses a more defensive component, and we expect Earnings Momentum to fulfil its role going forward in a broad Momentum strategy. Year-to-date Earnings Revision has been flat, while Price Momentum’s performance has been weak.