SPAC Momentum

Welcome to SPAC Momentum. Below you will find equity curves, yearly and monthly returns, and current holdings of our momentum based SPAC picking model benchmarked against the SPDR S&P500 ETF Trust (SPY). We have compiled a database of over 300 SPACs that is comprised of both pending and completed mergers. We then apply our proprietary model score that is a function of stock momentum to our universe of SPACs and allocate capital each month to the top 10 SPACs which score the highest in our model. Positions are sized based on recent volatility in each underlying SPAC and rebalanced at the beginning of each month. 

Yearly Returns

SPAC Momentum Yearly Returns

Table Legend

  • Model Score – Our Momentum Model’s score, which is a derivative of R2 .
  • Portfolio Allocation % – The percentage of the portfolio allocated to a given stock. Example: In a 100k portfolio a 10k position in 10%.
  • Position PnL % – The percentage profit/loss of a stock position held. Example: XYZ cost basis is $100/share and is currently trading $120/share, position PnL % is +20%.
  • Portfolio PnL % – The percentage profit/loss of a stock position relative to the entire portfolio. Example: Portfolio is 100k, a 10k position in XYZ with a cost basis is $100/share and is currently trading $120/share results in +2k profit or a Portfolio PnL % of 2%.

SPAC Momentum Model Holdings

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