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Medium-Term Momentum & Size Updates

Happy Friday. Here are some updates on two of the recent factor trends that we've been discussing in the context of our Factor Profile tool.

Medium-Term Momentum is No Longer Overbought

On March 9th, we flagged the Medium-Term Momentum factor as approaching "Extremely Overbought” territory. On a normalized basis, the factor appeared to be at or near an inflection point. Since then, the factor has experienced a pullback and is now poised to return to trend.

  • In my previous email, normalized factor return for Medium-Term Mo was 1.93 standard deviations above the historical mean and falling. It is now -0.49 standard deviations below the mean, which is in "Neutral" territory.
  • As a reminder: we define Medium-Term Momentum as cumulative return over the past 12 months excluding the most recent month

Size Continues to Rebound

Similarly, we called out Size factor on March 23rd as being "Extremely Oversold" at -2.59 standard deviations below the historical mean.

  • Since then, we've seen the factor start to bounce back, currently sitting at -1.33 standard deviations below the mean. If the trajectory continues, the factor will be in "Neutral" territory soon enough.
  • Size is defined as the natural logarithm of market cap for each company. A negative return for Size means that smaller stocks—those with negative exposure to the Size factor—fared better.

Please let me know if you'd like to see the impact of these (and other) factors on your portfolio's performance and risk profile.


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