Profiling momentum in equity markets

Abstract

This study created a customised model and a custom index to profile momentum in equity markets. The customised model used a momentum term structure grouped into different entry zones to create visual profiles for individual equity shares or stocks. A momentum profile describes a particular equity market in terms of the composition of its momentum cycles. Profiling shifts the focus onto the holding period while differentiating between false, neutral, negative, and positive momentum cycles as determined by the eventual outcomes. The composition of the momentum cycles and average hold per cycle type provide a unique description of the momentum effect in a market. The customised model identifies the stocks with momentum cycles in progress while the custom index quantifies the collective outcome to show the progression of momentum in a market over the years. Therefore, each equity market has a different profile related to the composition of its momentum cycles and the performance of its custom index. These profiles can be compared in terms of the number of momentum cycles, composition, basic profiles (average holds, price ranges, sectors, and entry zones), average parameter scores, and performance. This study created momentum profiles for three different equity markets – the Johannesburg Stock Exchange (JSE), the Toronto Stock Exchange (TSX), and the TSX Venture Exchange. The settings of the model parameters (momentum, volatility, quality, and activity scores) were calibrated on data from the JSE to enable direct comparison between the three exchanges. These exchanges or markets are distinct in size, the number of qualifying listings, and the number of listings that generated momentum cycles. The composition or configuration of the momentum cycles is unique to each market. The overall outcomes, in terms of average hold and compound return per average hold, favoured the emerging market represented by the Johannesburg Stock Exchange (JSE). The developed market, represented by the Toronto Stock Exchange (TSX) generated the largest number of momentum cycles and outperformed the JSE based on positive cycles. The venture market, represented by the TSX Venture Exchange (TSXV), underperformed the other two markets overall but produced the best results in terms of positive cycles. The positive cycles ultimately determined the performance of the respective momentum indices with the TSXV Momentum Index (TSXV MI) outperforming the other two indices, the JSE Momentum Index (JSE-MI) and the TSX Momentum Index (TSX-MI) over the 13-year period (2009-2021) of analysis.

Hierdie studie het 'n doelgemaakte model en 'n pasgemaakte indeks geskep om momentum in aandelemarkte te profileer. Die doelgemaakte model het 'n momentumtermynstruktuur gebruik wat in verskillende toetreesones ingedeel is om visuele profiele vir enkelaandele te skep. 'n Momentumprofiel beskryf 'n besondere aandelemark in terme van die samestelling van sy momentumsiklusse. Profilering verskuif die klem na die houtydperk terwyl daar onderskei word tussen vals, neutrale, negatiewe en positiewe momentumsiklusse soos bepaal deur die uiteindelike uitkomste. Die samestelling van die momentumsiklusse en gemiddelde houtyd per siklussoort verskaf 'n eiesoortige of unieke beskrywing van die momentumeffek in 'n mark. Die doelgemaakte model wys die aandele met ontwikkelende momentumsiklusse uit, terwyl die pasgemaakte indeks die gesamentlike uitkoms kwantifiseer om die vordering van momentum in 'n mark oor die jare weer te gee. Elke aandelemark het daarom 'n anderse profiel wat verband hou met die samestelling van sy momentumsiklusse en die vertoning van sy pasgemaakte indeks. Hierdie profiele kan vergelyk word in terme van die aantal momentumsiklusse, samestelling, basiese profiele (gemiddelde houtye, prysklasse, sektore en toetreesones), gemiddelde parametertellings en vertoning. Hierdie studie het momentumprofiele vir drie verskillende aandelemarkte geskep – die Johannesburg Aandelebeurs (JSE), die Toronto Aandelebeurs (TSX) en die TSX Waagkapitaalbeurs. Die stellings van die modelparameters (momentum, volatiliteit, kwaliteit en aktiwiteit tellings) is op data van die JSE ingestel om direkte vergelyking tussen die drie beurse moontlik te maak. Hierdie beurse of markte is verskillend in grootte, die aantal geskikte noterings en die aantal noterings wat momentumsiklusse ondergaan het. Die samestelling of konfigurasie van die momentumsiklusse is eiesoortig aan elke mark. Die algehele uitkomste, in terme van gemiddelde houtyd en saamgestelde opbrengs per gemiddelde houtyd, het die ontluikende mark soos deur die Johannesburg Aandelebeurs (JSE) verteenwoordig bevoordeel. Die ontwikkelde mark, verteenwoordig deur die Toronto Aandelebeurs (TSX), het die grootste aantal momentumsiklusse voortgebring en het beter as die JSE gevaar op grond van positiewe siklusse. Die waagmark, verteenwoordig deur die TSX Waagkapitaalbeurs (TSXV), het oor die algemeen swakker gevaar as die ander twee markte, maar het die beste uitslag gelewer in terme van positiewe siklusse. Die positiewe siklusse het uiteindelik die vertoning van die onderskeie momentumindekse bepaal met die TSXV Momentum Indeks (TSXV MI) wat die ander twee indekse, die JSE Momentum Indeks (JSE-MI) en die TSX Momentum Indeks (TSX-MI), oor die 13-jaar tydperk (2009-2021) van ontleding oortref.

Lolu cwaningo ludale imodeli eyenziwe ngokwezifiso kanye nenkomba yangokwezifiso ukuze kuphrofayili umfutho ezimakethe zokulingana. Imodeli eyenziwe ngendlela oyifisayo isebenzise ukwakheka kwethemu lomfutho eliqoqwe ezindaweni zokungena ezihlukene ukuze kwakhe amaphrofayili abonakalayo wamasheya angawodwana okulingana noma amasheya. Iphrofayili yomfutho ichaza imakethe ethile yezabelomali ngokuya ngokwakheka kwemijikelezo yayo yomfutho. Ukwenza iphrofayela kushintsha ukugxila kunkathi yokubamba kuyilapho kuhlukanisa phakathi kwemijikelezo yamanga, engathathi hlangothi, engemihle, kanye nenhle njengoba kunqunywa imiphumela yokugcina. Ukwakheka kwemijikelezo yomfutho nokubamba okumaphakathi kohlobo ngalunye lomjikelezo kunikeza incazelo ehlukile yomthelela womfutho emakethe. Imodeli eyenziwe ngendlela oyifisayo ikhomba amasheya anemijikelezo yomfutho eqhubekayo kuyilapho inkomba yangokwezifiso ilinganisela umphumela ohlangene ukuze ubonise ukuqhubeka komfutho emakethe phakathi neminyaka. Ngakho-ke, imakethe yezabelomali ngayinye inephrofayili ehlukile ehlobene nokwakheka kwemijikelezo yayo yomfutho kanye nokusebenza kwenkomba yayo yangokwezifiso. Lawa maphrofayili angafaniswa ngokwenani lemijikelezo yomfutho, ukwakheka, amaphrofayili ayisisekelo (ukubanjwa okumaphakathi, ububanzi bentengo, imikhakha, nezindawo zokungena), isilinganiso semiphumela yepharamitha, kanye nokusebenza. Lolu cwaningo ludale umfutho ezimakethe ezintathu ezahlukene zamasheya – iJohannesburg Stock Exchange (JSE), iToronto Stock Exchange (TSX), kanye ne-TSX Venture Exchange. Izilungiselelo zamapharamitha wemodeli (umfutho, ukuguquguquka, ikhwalithi, namaphuzu omsebenzi) zilinganiswa ngedatha evela e-JSE ukuze kuvunyelwe ukuqhathanisa okuqondile phakathi kwalokhu kushintshana okuthathu. Lokhu kushintshana noma izimakethe zihlukile ngosayizi, inombolo yokufakwa kuhlu okufanelekayo, kanye nenani lokufakwa kuhlu okukhiqize imijikelezo yomfutho. Ukwakheka noma ukucushwa kwemijikelezo yomfutho bekuhlukile emakethe ngayinye. Isiyonke imiphumela, ngokwesilinganiso sokubamba kanye nembuyiselo ehlanganisiwe ngokwesilinganiso sokubamba, ivune izimakethe ezisafufusa ezimelwe yiJohannesburg Stock Exchange (JSE). Imakethe ethuthukisiwe, emelwe yi-Toronto Stock Exchange (TSX) ikhiqize inani elikhulu kakhulu lemijikelezo yomfutho futhi yadlula i-JSE ngokusekelwe emijikelezweni emihle. Imakethe yezohwebo, emelwe yi-TSX Venture Exchange (TSXV), yenza kabi ezinye izimakethe ezimbili zizonke kodwa yakhiqiza imiphumela engcono kakhulu ngokwemijikelezo emihle. Imijikelezo eqondile igcine inqume ukusebenza kwezinkomba zomfutho ngokulandelana kwazo ne-TSXV Momentum Index (TSXV-MI) idlula ezinye izinkomba ezimbili, i-JSE Momentum Index (JSE-MI) kanye ne-TSX Momentum Index (TSX-MI) phakathi neminyaka 13 unyaka inkathi (2009-2021) yokuhlaziya.