Small-cap momentum: S&P 600 analysis

Four decades after Robert Levy‘s paper, past winners still outperform past losers.  S&P 600 stocks rising over 20% in a year return 10% in the next quarter, on average.  (This analysis covers the last 5 years and has some survivor bias due to index changes, unlike the Fama-French data showing similar results.)


More important than the magnitude is the distribution.  Clearly, annual return is proportional to the next quarter return.  Asking Steve Cohen for tips is unnecessary.  Fama-French data confirms this effect over decades.  My opinion is that the effect is due to accelerating earnings driving prices and is therefore built in to market structure.


One thought on “Small-cap momentum: S&P 600 analysis

  1. Pingback: Intermediate momentum! | RRSP Strategy

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