
Welcome to the SPY Momentum. Below you will find equity curves, yearly/monthly returns, and current holdings of our Quantamental stock picking model benchmarked against the SPDR S&P500 ETF Trust. We have implemented a proprietary model score that is a function of stock momentum to allocate capital each month to the top 10 companies in the S&P 500 which score the highest in our model. Positions are sized based on recent volatility in each underlying stock and rebalanced at the beginning of each month.
Yearly Returns
_id | Year | spy_yearly_returns | momo_yearly_returns | Momentum Model | SPY |
---|---|---|---|---|---|
603794b926e1e53664a82786 | 2013 | 0.32 | 0.54 | 53.87 | 32.31 |
603794b926e1e53664a82787 | 2014 | 0.13 | 0.16 | 16.34 | 13.46 |
603794b926e1e53664a82788 | 2015 | 0.01 | -0.02 | -1.98 | 1.23 |
603794b926e1e53664a82789 | 2016 | 0.12 | 0.22 | 21.59 | 12.00 |
603794b926e1e53664a8278a | 2017 | 0.22 | 0.23 | 23.11 | 21.71 |
603794b926e1e53664a8278b | 2018 | -0.05 | -0.02 | -1.70 | -4.57 |
603794b926e1e53664a8278c | 2019 | 0.31 | 0.11 | 10.84 | 31.22 |
603794b926e1e53664a8278d | 2020 | 0.18 | 0.18 | 18.27 | 18.33 |
603794b926e1e53664a8278e | 2021 | 0.05 | 0.17 | 16.76 | 4.78 |
_id | spy_yearly_returns | momo_yearly_returns |
_id | Summary Statistics | Value |
---|---|---|
603794b526e1e53664a82709 | annual_return | 0.19 |
603794b526e1e53664a8270a | annual_volatility | 0.19 |
603794b526e1e53664a8270b | sharpe_ratio | 0.99 |
603794b526e1e53664a8270c | calmar_ratio | 0.63 |
603794b526e1e53664a8270d | stability_of_timeseries | 0.95 |
603794b526e1e53664a8270e | max_drawdown | -0.30 |
603794b526e1e53664a8270f | omega_ratio | 1.19 |
603794b526e1e53664a82710 | sortino_ratio | 1.42 |
603794b526e1e53664a82711 | skew | -0.35 |
603794b526e1e53664a82712 | kurtosis | 6.86 |
603794b526e1e53664a82713 | tail_ratio | 1.00 |
603794b526e1e53664a82714 | common_sense_ratio | 1.19 |
603794b526e1e53664a82715 | information_ratio | 0.02 |
603794b526e1e53664a82716 | alpha | 0.06 |
603794b526e1e53664a82717 | beta | 0.84 |
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%.
Momentum Model Holdings
_id | Ticker | value | pnl | Cost Basis | shares | pct_allo | position_pct_pnl | portfolio_pnl_pct | Score | Portfolio Allocation % | Position PnL % | Portfolio PnL % |
---|---|---|---|---|---|---|---|---|---|---|---|---|
603794b326e1e53664a826fe | GPS | 4,665,472.65 | 1,213,612.11 | 19.20 | 179,787 | 0.10 | 0.35 | 0.10 | 83.49 | 9.56 | 35.16 | 9.69 |
603794b326e1e53664a826ff | CARR | 5,833,886.10 | 732,345.33 | 32.75 | 155,778 | 0.12 | 0.14 | 0.06 | 103.72 | 11.96 | 14.36 | 5.85 |
603794b326e1e53664a82700 | DE | 6,855,129.12 | 1,666,237.77 | 261.64 | 19,832 | 0.14 | 0.32 | 0.13 | 144.95 | 14.05 | 32.11 | 13.31 |
603794b326e1e53664a82701 | LB | 3,793,950.75 | 1,252,561.27 | 34.60 | 73,455 | 0.08 | 0.49 | 0.10 | 168.00 | 7.78 | 49.29 | 10.01 |
603794b326e1e53664a82702 | PWR | 5,436,373.16 | 853,165.48 | 68.40 | 67,009 | 0.11 | 0.19 | 0.07 | 177.77 | 11.14 | 18.62 | 6.82 |
603794b326e1e53664a82703 | IVZ | 5,611,614.56 | 479,213.32 | 21.27 | 241,256 | 0.12 | 0.09 | 0.04 | 406.28 | 11.50 | 9.34 | 3.83 |
603794b326e1e53664a82704 | FCX | 4,519,703.03 | 2,486,271.11 | 17.05 | 119,288 | 0.09 | 1.22 | 0.20 | 424.33 | 9.26 | 122.27 | 19.86 |
603794b326e1e53664a82705 | TSLA | 3,227,044.98 | -176,559.95 | 782.62 | 4,349 | 0.07 | -0.05 | -0.01 | 485.27 | 6.61 | -5.19 | -1.41 |
603794b326e1e53664a82706 | TPR | 6,239,300.81 | 1,810,024.44 | 29.59 | 149,663 | 0.13 | 0.41 | 0.14 | 686.23 | 12.79 | 40.87 | 14.46 |
603794b326e1e53664a82707 | ENPH | 2,600,896.22 | -171,905.28 | 192.82 | 14,380 | 0.05 | -0.06 | -0.01 | 1,050.80 | 5.33 | -6.20 | -1.37 |
603794b326e1e53664a82708 | CASH | 11,998.84 | 0.00 | 1.00 | 11,998 | 0.00 | 0.00 | 0.00 | 0.00 | 0.02 | 0.00 | 0.00 |