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International Columbine Alpha Factor

The International Columbine Alpha Factor brings a proven, objective measure of each stock’s price behavior to global investors.

Since its introduction in 1979, the Columbine Alpha Factor has been widely recognized as the industry’s premier tool for the management of equity price momentum. In 1991 we created optimized, country-specific versions of the Columbine Alpha Factor for markets outside the US. A stock’s Columbine Alpha Factor ranking is a forecast of that issue’s probable relative performance over the next six to twelve months: will it outperform, underperform, or generally match the return of its country market?

Recognizing the higher level of transactions costs generally experienced outside the US markets, we optimize each version of the International Columbine Alpha Factor to achieve superior predictive power at institutionally useful holding periods. The design process focuses on big-cap, highly-liquid, institutional-grade securities like those that make up the major international indices. Our experience shows that these issues are the most efficiently priced. Any model that can successfully generate alpha in these securities will have no problem with smaller cap, less efficiently priced companies.

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