Past winners (Momentum)
Dennis Saerbeck
| dennisluxx
Last Login: 03/12/2021
+13.0%
since 11/7/2018
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Ø-Perf. per year
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Performance (1yr)
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Volatility (1yr)
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Return/Risk
Portfolio chart
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Trading Idea
This strategy capitalizes on the momentum anomaly which denotes that stocks that have recently surged will continue doing so (Jegadeesh and Titman (1993)). The constituents of this investment strategy is identifying equity securities that have experienced price increases over the past 6 and past 12 months with the assumption that increases will continue in the future. Only large and mid-capitalization international stocks exhibiting relatively higher momentum characteristics will be considered and held long term (minimum 6 months). The portfolio will be 100% equity 0% cash, diversified across multiple industries and will exclude financial services stocks such as banks.
Master data
Symbol
WF000MOMEN
Date created
11/07/2018
Index level
-
High watermark
115.8