Monthly Momentum System

Performance

  • +10.6 %
    since 2020-07-22
  • -
    1 Year
  • -
    Ø-Performance per year
All fees have already been deducted

Risk

  • -9.3 %
    Maximum loss (to date)
  • 0.76×
    Risk factor
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Trading Idea

This is my monthly momentum trading system and is like my other wikifolios purely technical.
So there won't be any second guessing or emotions involved.

Momentum is a well researched market anomaly which was used e.g. by Jesse Livermore and is researched by many academics (see research papers on SSRN by Jegadeesh, Titman etc.).

Like every sound trading system this wikifolio is made for long-term investments and is no get-rich-quick-scheme.

The System we use here is based on researches of Gary Antonacci (see Dual Momentum Investing).

Our universe are ETF's only.
I'm going to use a self-programmed program which calculates the momentum score for each of our traded assets and then decides whether we are invested in stocks or in bonds.

My own backtest of this system delivered the following results for the years between 2000 - 2020:

CAGR: 7.6 %
Max. Drawdown: -22.02 %

Volatility (monthly): 3.34%
Volatility (annualized): 11.57%

Sharpe Ratio: 0.54
Sortino Ratio: 0.78

Extended backtests and monthly results of a similar strategy can be found on Gary's website.
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Master data

Symbol
WF02020MMS
Date created
2020-07-22
Index level
High watermark
114.3

Rules

wikifolio labels

Investment Universe

Trader

Registered since 2016-09-18