The Momentum signal continues to be the best performing factor in 2019, even in a market that was characterised by significant negative returns over the third quarter. Price Momentum is now leading any other factor, with a clear margin over a 12-month period targeting very specific share exposures in the broader sectors.
Earnings revisions could not replicate the success of Price Momentum over the third quarter and is behaving differently to its usual correlated nature within the broader Momentum strategy. Having said that, it is encouraging to see the important role it plays in diversifying the return experience of a broader Momentum strategy. Over a 12-month period, the strategy is still underperforming, however, due to its significant underperformance for the duration of Q4 2018.