Factor/Style Investing

ATP Tech Momentum Indices, Monthly

May 31, 2025

Topics - Factor/Style Investing Momentum

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ATP Tech Momentum Indices, Monthly

Momentum is an investment style that has been studied extensively by academics for many years. The evidence for momentum is pervasive and supported by almost two decades of academic and practitioner research. Studies have documented momentum in the U.S. as far back as the Victorian age. The evidence also shows that momentum works broadly across asset classes, including foreign stocks, bonds, commodities, currencies, index futures, and global country selection. ATP Tech has developed methodologies for U.S. and international markets that capture momentum in an intuitive and transparent way. The methodology can be applied to any universe of stocks. At present, ATP Tech has created momentum indices for three distinct markets:

  • The ATP Tech Momentum Index (Large-Cap and Mid-Cap U.S. Equities)
  • The ATP Tech Small Cap Momentum Index (Small-Cap U.S. Equities)
  • The ATP Tech International Momentum Index (Non-U.S. Equities)

Each of the indices is constructed using a simple and transparent methodology that captures the essence of the momentum effect:

  • The investment universe is screened based on market capitalization, liquidity and other considerations.
  • The stocks in the investment universe are ranked by their total return over the prior twelve months, excluding the last month.
  • The top 33% of stocks with the highest rank are included, and weighted based on their market capitalization.
  • The index is reconstituted quarterly.

 

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You cannot invest directly in the ATP Tech Momentum Indices (the "Indices"). Index performance does not represent actual fund or portfolio performance. A fund or portfolio may differ significantly from the securities included in the Indices. Index performance assumes reinvestment of dividends, but does not reflect any management fees, transaction costs or other expenses that would be incurred by a portfolio or fund, or brokerage commissions on transactions in fund shares. Such fees, expenses and commissions would reduce returns.

 

 

Copyright © ATP Tech Capital Management, LLC. This material is proprietary and may not be reproduced, transferred or distributed in any form without prior written permission from ATP Tech .

 

The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of ATP Tech Capital Management, LLC, its affiliates or its employees.

 

This information is not intended to, and does not relate specifically to any investment strategy or product that ATP Tech offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.