Risk-adjusted momentum factors are available for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.
| Top 10 Sectors | Count | Type | Start Date |
|---|---|---|---|
| Finance | 1133 | Equities | 2003-01-01 |
| Health Technology | 775 | Equities | 2003-01-01 |
| Technology Services | 392 | Equities | 2003-01-01 |
| Electronic Technology | 387 | Equities | 2003-01-01 |
| Producer Manufacturing | 304 | Equities | 2003-01-01 |
| Consumer Services | 286 | Equities | 2003-01-01 |
| Non-Energy Minerals | 237 | Equities | 2003-01-01 |
| Energy Minerals | 223 | Equities | 2003-01-01 |
| Commercial Services | 223 | Equities | 2003-01-01 |
| Industrial Services | 194 | Equities | 2003-01-01 |
Risk-adjusted momentum factors are calculated daily for thousands of stocks.
This data is available via API and CSV download.
As a data feed, customers can expect to receive information in the following format.
| Trade Date | Symbol | Company Name | Country | Sector | Risk-adjusted Momentum 50 | Risk-adjusted Momentum 100 | Risk-adjusted Momentum 200 | Risk-adjusted Momentum Combined |
|---|---|---|---|---|---|---|---|---|
| 2018-01-31 | JPM | JPMorgan Chase & Co. | US | Finance | 0.59 | 0.20 | 0.07 | 6.17 |
| 2018-01-31 | JNJ | Johnson & Johnson | US | Health Technology | 1.45 | 0.44 | 0.14 | 14.98 |
| 2018-01-31 | MSFT | Microsoft Corporation | US | Technology Services | 0.72 | 0.20 | 0.07 | 7.38 |
| 2018-01-31 | AAPL | Apple Inc. | US | Electronic Technology | 1.70 | 0.29 | 0.10 | 16.54 |
| 2018-01-31 | HON | Honeywell International Inc. | US | Producer Manufacturing | 1.25 | 0.30 | 0.10 | 12.57 |
| 2018-01-31 | DIS | Walt Disney Company | US | Consumer Services | 0.93 | 0.27 | 0.16 | 9.58 |
| 2018-01-31 | BHP | BHP Group Ltd Sponsored ADR | AU | Non-Energy Minerals | 0.38 | 0.21 | 0.06 | 4.32 |
| 2018-01-31 | XOM | Exxon Mobil Corporation | US | Energy Minerals | 0.97 | 0.46 | 0.20 | 10.79 |
| 2018-01-31 | SPGI | S&P Global, Inc. | US | Commercial Services | 0.79 | 0.27 | 0.09 | 8.24 |
| 2018-01-31 | ENB | Enbridge Inc. | CA | Industrial Services | 0.84 | 0.32 | 0.20 | 9.04 |
Contact Sales if you are interested in accessing historic data for back testing.
