MOM011Factor HubMomentum FactorsHigh
Information Momentum Factor
Measures how fast prices digest news, riding the slow part of information diffusion.
Formula
InfoMom = CAR(event+1, event+20) * InfoScorePerformance (Top-30 equal-weight long, monthly rebalance)
Annualized return
8.53%
Sharpe ratio
0.54
Max drawdown
-23.82%
Total return
126.70%
Cumulative performance（2016-09 … 2026-08）
2016 -5.1%2017 +8.3%2018 +0.3%2019 +21.9%2020 +32.6%2021 +15.3%2022 +27.5%2023 -6.4%2024 -2.9%2025 -6.3%2026 +8.7%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | NKE | Nike | 0.156 |
| 2 | CI | Cigna | 0.154 |
| 3 | NSC | Norfolk Southern | 0.119 |
| 4 | ULTA | Ulta Beauty | 0.108 |
| 5 | REGN | Regeneron | 0.107 |
| 6 | ISRG | Intuitive Surgical | 0.106 |
| 7 | ZS | Zscaler | 0.095 |
| 8 | AVGO | Broadcom | 0.092 |
| 9 | PANW | Palo Alto Networks | 0.089 |
| 10 | CDNS | Cadence | 0.084 |
| 11 | RTX | RTX Corp | 0.083 |
| 12 | SHW | Sherwin-Williams | 0.082 |
| 13 | UDR | UDR | 0.080 |
| 14 | MMM | 3M | 0.077 |
| 15 | ADI | Analog Devices | 0.068 |
| 16 | LRCX | Lam Research | 0.067 |
| 17 | ANET | Arista Networks | 0.065 |
| 18 | PSA | Public Storage | 0.065 |
| 19 | TJX | TJX Companies | 0.060 |
| 20 | DDOG | Datadog | 0.059 |
| 21 | MDLZ | Mondelez | 0.058 |
| 22 | SNPS | Synopsys | 0.057 |
| 23 | OKE | ONEOK | 0.056 |
| 24 | NOW | ServiceNow | 0.054 |
| 25 | KHC | Kraft Heinz | 0.054 |
| 26 | CCL | Carnival | 0.054 |
| 27 | ABT | Abbott Laboratories | 0.053 |
| 28 | VALE | Vale | 0.052 |
| 29 | PPL | PPL Corporation | 0.051 |
| 30 | HD | Home Depot | 0.050 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.