This list shows all the Swiss Mid & Small Cap equities making a new high on 22.01.2021 (and CW3 in general). Investors following momentum strategies will be using such data to filter their investment universe for investable opportunities. See this list for end of November new highs and this list for beginning of December 2020 new highs.
Momentum investing means using a rule based framework, which prioritises equities that have recently risen faster or higher than the average (and below average) equities. A risk-adjusted and a non risk-adjusted performance are calculated for a short term (around 6 month) and a medium term (around 12 month) timeframe. These performance returns will generate a ‘momentum factor’, which has been shown to be an important component of equity market returns.
Here’s another visual from man.com on momentum investing:
As part of my algo collection, I use such criteria to monitor the Swiss Mid & Small Cap universe in Switzerland and generate buy and sell signals. The Swiss Mid & Small Cap universe currently encompasses 208 equities listed on the Swiss Exchange. I also monitor over 1550 ETF listed on the Swiss Exchange.
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