+33.0%
since 6/21/2019
-
Ø-Perf. per year
-
Performance (1yr)
-
Volatility (1yr)
-
Return/Risk
Portfolio chart
DetailsFeed
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