-
The indicator provides a useful sense of overbought and oversold. More to the point, when values have been in their strongest quartile since 2014, the next 20 days' return has been superior. That's a momentum effect. When the values have been in their weakest quartile, we've also seen a superior average return over a 20-day period. That's a value effect. The trajectory of the cumulative measure acts reflects the cyclical nature of market movement, with returns shifting between value and momentum at various phases of market cycles.
Posting Permissions
- You may not post new threads
- You may not post replies
- You may not post attachments
- You may not edit your posts
Forum Rules