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Overview
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Trading idea
Portfolio
Key figures
Trades

Monthly Momentum System

RoadToValhalla

Last Login: 07/05/2021


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+27.4%
since 07/22/2020

+8.0%
1 Year

+14.6%
Ø-Perf. per year

-15.4%
Max loss

0.78
Risk factor


Portfolio

Details
Calculated prices

Sell

Buy

in EUR

Certificate fee per year

0.95%

Performance fee

10%

Before a wikifolio can become investable, the following criteria must be fulfilled:
668 / 21 days of test period
0 / 10 Reservations
EUR 0 / 2,500 Reserved capital
Reserve now

I would invest the following amount

EUR 100

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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

07/22/2020

Index level

-

High watermark

146.9

Investment Universe

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To see the current portfolio of this wikifolio, the wikifolio chart, all key figures and previous trades, register now - completely free of charge.

For the composition of the virtual portfolio click here.

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