New Trend, Momentum, and Ferguson Metrics

Still coming to you live from Bellingham, WA in the beautiful Pacific Northwest on Lake Whatcom. It’s been a busy month!


We hosted an impromptu webinar on Friday, 30 July to support a request on the MFO Discussion Board. Here is link to the video recording.


On Sunday, 8 August, all fund risk and return metrics, ratings, and analytics were uploaded to MFO Premium, reflecting performance through July 2021.


Several new MultiSearch features went live on Wednesday, 25 August … all requests from subscribers:


  • Exponential Moving Average (EMA). Similar to Simple Moving Average (SMA) used in Trend analysis. While SMA is the simple average of return growth over the past several months (3, 6, 10, or 12), EMA places emphasis on the more recent months by weighting them more heavily.

  • Momentum (MoM). Measures a fund’s recent return performance. Specifically, it measures past 3, 6, 9, and 12-month annualized percent return (APR), but ignores most current month. This measure attempts to capture in funds the same premium seen in stocks. Per the folks at Alpha Architect: “Researchers have found that, on average, stocks with strong recent performance relative to other stocks in the cross section of returns tend to outperform in the future …”

  • Benchmark. Refinitiv provides about 2200 indexes in our data feed. Of these, nearly 1900 are used by fund managers, Refinitiv, and others to help compare fund performance against expectations. MultiSearch now has ability to screen for funds by benchmark, up to five. Find this new option under “More Basic Info” group.


Finally yesterday, Monday, 30 August, we went live with the Ferguson Mega Ratio, which is an outperformance measure adjusted by consistency, risk and expense, developed by Brad. His latest! For him, it’s all about getting to the upper right-hand corner of this performance and consistency quad chart:

He’s offered to discuss the new methodology and how he uses it to quickly filter down to a 100 or so funds he maintains as candidates for his clients at Indianapolis-based Halter Ferguson Financial. (See Introducing Ferguson Metrics.) The webinar will be Wednesday, 15 September at 10:30 am Pacific. If you can make it, please register here.


The August performance update should drop by Sunday, 5 September.


As always, if you see anything amiss or have suggestions for improvement, let us know and we will respond soonest.