Price momentum is widely cited as a factor in stock selection, though I am not a natural born believer. Purchasing something because it has become more expensive does not put me at ease. A blog post at alphaarchitect.com  was recently published that cited how price momentum with small changes offers favourable returns. This blog post shares the results of using Equities Lab to test the idea that smoothly increasing prices can form a good momentum strategy.
The screener requires that a stock be sufficiently liquid with the following definition
The top 20 stocks are chosen from a score defined by the sum of:
Over the time period of 1996-2015, the screener returns an insane CAGR of nearly 32% with an gut wrenching standard deviation of 43%. Looking at the log-scale graph of returns is troubling: it appears that the returns are less favourable with time. In fact, the last 2 years have negative returns.
Is the momentum effect getting perhaps arbitraged away?