MSCI Country-wise Momentum Indices

MSCI momentum indices are a boon to anyone wishing to analyze the base case returns over long time horizons. Irrespective of the index launch date, they back-fill strategy returns to give a sense of how they would have performed in previous years. Also, with the US Dollar as their base currency, it makes apples-to-apples comparisons possible.

All country momentum indices

Select country momentum indices


The cumulative returns chart tells a better story:

Two things

  1. Strikingly narrow difference between India and World momentum indices.
  2. Shallow drawdowns of USA Momentum compared to the rest.

Code and more charts on github.

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