MSCI World Momentum DeterioratingDecember 10, 2013
One way we calculate momentum is to measure the percent of days that stocks are up and down. A random walk would have a 50% central tendency, so when the percent of up days diverges significantly from this mean, we can measure the deviation from randomness. On March 20, 2013, the MSCI World index registered 79.5% of days over the previous 4 months as up days. Since then, the percent of up days has been slowly eroding. As of yesterday, it was down to 59% and in a pattern of lower highs and lower lows for the last 8 months.
Over even shorter periods of time, we can see the loss of momentum as well. Here we measure from the bottom up, the up day percentage by sector. The average up day percentage has been drifting down from 51% over the last 50 days to 46% over the last 5 days.