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Momentum And Volatility

nahabba2

Last Login: 08/20/2023


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Trading idea
Portfolio
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+33.0%
since 6/21/2019

-
Ø-Perf. per year

-
Performance (1yr)

-
Volatility (1yr)

-
Return/Risk



Portfolio chart

Details

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Trading Idea

A quantitative momentum and low volatility strategy for stocks listed in the US. Rebalancing occurs every 3 month. This strategy aims to profit from the idea that for "boring" stocks good performance takes longer to be appreciated by investors. The strategy is based on ideas described in "Quantitative momentum: a practitioners guide to building a momentum-based stock selection system" by Wesley R. Gray and Jack R. Vogel.

Master data

Symbol

WFQUNTMOMM

Date created

06/21/2019

Index level

-

High watermark

130.0

Investment Universe

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