Performance measurement

• Relative price performance is measured as the average for each revisions momentum quintile over each period shown relative to the average price performance for the test population. Price performance by the Long strategy quintiles (1 and 2) is reduced by 0.5% each month to represent the costs of rebalancing and reconstituting. Price performance by the Short strategy quintiles (4 and 5) is raised by 0.5% each month, in effect reducing the profit on short strategies from costs. Each period runs to the end of the last complete month. No distributions or buybacks are included.
• The test population is the largest two thirds of stocks in the SAM population measured by market capitalisation for each region shown. Revisions momentum quintiles and the test population are re-set monthly.
• 5y and 10y relative price performance is compounded average annualised (CAA).
• 12m relative volatility is the ratio of the average monthly standard deviation of price performance for each quintile measured over a trailing 12 months relative to the average monthly standard deviation of price performance for the population over the same period.
• 12m Hit Rate is the proportion of stocks in each quintile that outperformed the population over a trailing 12 months, measured monthly.