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Combining High Asset Growth with Stock Momentum

Code Awesome Systematic Trading

Summary

This strategy selects U.S. equities by asset growth, then uses price momentum to choose long and short positions. It first screens for exchange-listed stocks, removes the smallest market capitalization names according to the source description, and ranks the remaining stocks by annual balance-sheet asset growth. Within the highest-growth group, it ranks stocks by their prior eleven-month returns while skipping the most recent month. The strategy goes long the strongest momentum group and short the weakest, with equal weighting and monthly rebalancing. January is excluded from holding the long-short portfolio.

The included implementation adapts the universe to the 500 most liquid stocks and uses daily data to build monthly price observations. The source describes the approach and its rationale but supplies no performance results for this specific combined strategy. Its code also differs from the source universe and relies on a particular history and asset-data setup, so results may depend on implementation choices, data availability, trading costs, and shorting assumptions.

Key ideas

  • The strategy ranks equities first by annual asset growth and then by momentum within the highest-growth group.
  • Momentum is measured using the prior eleven months while omitting the latest month.
  • The portfolio takes equal-weighted long positions in the strongest momentum names and shorts the weakest.
  • The strategy rebalances monthly and excludes January from its holding period.
  • The implementation uses a liquid-stock universe that differs from the source description.

Tags

EquitiesMomentumFactor investingPortfolio constructionBacktestingUS markets

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.