Score the investable equity universe (S&P 500, Russell 1000, and NASDAQ-100) by multi-timeframe price momentum and surface the top 20 leaders
Ranks stocks by price momentum so you can see which large-cap names are leading. It scores each eligible stock from its 1-week, 1-month, 3-month, and 6-month returns plus relative strength, after applying market-cap and liquidity filters. The output is a ranked list of the stocks scoring highest on momentum, each with its return figures and a data-quality flag. Scores describe recent price strength and say nothing about fundamentals.
The equity momentum screener - where the academic effect is best documented, and where one input works against it.
THE EVIDENCE IS STRONGEST HERE. Jegadeesh and Titman (1993) documented that US stocks with high returns over the prior 3 to 12 months continued to outperform over the next 3 to 12 - replicated across markets and decades, and one of the anomalies that survived the strongest scrutiny. Carhart (1997) added momentum as a fourth factor to Fama and French's three, which is the clearest sign of how established it became.
NOW THE CONSTRUCTION DETAIL THAT MATTERS. The standard academic momentum measure is formed over 12 months SKIPPING THE MOST RECENT ONE - written as 12-2 or 12-1. The skip is not fussiness: short-horizon returns exhibit REVERSAL rather than continuation, an effect documented separately, and including the latest month therefore CONTAMINATES a momentum signal with a reversal signal that points the opposite way.
This screener scores 1-week, 1-month, 3-month and 6-month returns. The 3- and 6-month windows sit squarely inside the researched momentum range. The 1-week and 1-month windows sit in the short-term REVERSAL range - so those two components work against the effect the other two are capturing, and a composite that averages all four is netting a documented anomaly against its own inverse. A student should be able to spot that, and to say what the standard construction does instead.
WHY MOMENTUM MIGHT EXIST AT ALL. The leading explanations are behavioural - under-reaction to news, so prices adjust gradually rather than at once, and delayed herding thereafter. Note that momentum is uncomfortable for efficient-market theory, which is part of why it has been tested so relentlessly.
THE CRASH RISK IS THE PRACTICAL WARNING. Momentum's return distribution is negatively skewed: long stretches of steady gains punctuated by severe drawdowns, concentrated in sharp market rebounds when the beaten-down losers rally hardest. A screener ranking by momentum is exposed to that, and the exposure is invisible in ordinary conditions.
RELATIVE STRENGTH included alongside raw returns is the right instinct: it measures leadership against the market rather than absolute gain, which separates a stock that led from one that merely rose with everything else.
The window set, the weights and the list length are our own convention.
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