This list shows all the Swiss Mid & Small Cap equities making a new high on 29.01.2021 (and CW4 in general). The column percent shows how far off from the high the stock was at the end of CW4, indicating dissipating momentum.
Investors following momentum strategies will be using such data to filter their investment universe for investable opportunities.
See this list for CW3 new highs.
Momentum investing involves a strategy to capitalize on the continuance of an existing market trend according to investopedia. Momentum investing means using a rule based framework, which prioritises equities that have recently risen faster or higher than the average (and below average) equities. A risk-adjusted and a non risk-adjusted performance are calculated for a short term (around 6 month) and a medium term (around 12 month) timeframe. These performance returns will generate a ‘momentum factor’, which has been shown to be an important component of equity market returns.
As part of my algo collection, I use such criteria to monitor the Swiss Mid & Small Cap universe in Switzerland and generate buy and sell signals. The Swiss Mid & Small Cap universe currently encompasses 208 equities listed on the Swiss Exchange. I also monitor over 1550 ETF listed on the Swiss Exchange.
Questions or feedback?
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