Trendrating Launches New Technology to Grade Portfolio Momentum

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Fund managers can now measure a portfolio in terms of the overall momentum exposure for a risk-return profile of their holdings

The ability to accurately measure exposure to the momentum factor is a major breakthrough in portfolio management

Trendrating, the leading provider of momentum analytics to fund managers worldwide, has launched a new version of its popular momentum analytics platform which includes a “Portfolio Momentum Rating” to help fund managers enhance performance and reduce portfolio risk. Fund managers can now run aggregated portfolio momentum analysis and immediately optimize strategies by limiting the exposure in underperforming stocks and ETFs.

Equity fund managers typically use a common set of metrics to measure the aggregated risk-return profile of their holdings. This can include volatility, tracking error, Sharpe ratio, price earnings and dividend yields. Now with Trendrating, fund managers can measure a portfolio in terms of the overall momentum exposure which can easily be combined with most investment strategies.

Trendrating supports a more refined, granular analytics structure via a rating grade (A,B,C,D) that includes “pluses” and “minuses”. This methodology offers a comprehensive way to measure the aggregated momentum exposure for whole portfolios, baskets of stocks and indices. The resulting momentum profile is calculated on all the components and the specific weightings and synthetized as a grade.

A momentum rating of “A”, “A-“, or “B+” is usually associated with a portfolio possessing strong exposure to bull trends. A reading of “B” or “B-” indicates that approximately 25-to-33% of the holdings are in a bear trend and an adjustment is advisable in order to effectively manage the risk of losses. A reading below “B” is a strong warning signal that 50% or more of the positions held are in a negative trend which can dramatically impact returns.

“Our mission is to provide equity portfolio managers with the most accurate, relevant and actionable momentum analytics”, said Trendrating CEO Rocco Pellegrinelli. “The new release of our solution is another step in facilitating the adoption of momentum metrics at a time when the momentum factor is gaining traction with active as well as passive managers. The ability to accurately measure exposure to the momentum factor is a major breakthrough in portfolio management.”

Trendrating recently announced a collaboration agreement with FTSE Russell to develop innovative new momentum indexes.

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John Coulter
Trendrating
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