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
- Strikingly narrow difference between India and World momentum indices.
- Shallow drawdowns of USA Momentum compared to the rest.
Code and more charts on github.
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