
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 |
---|---|---|---|---|---|
621f47b8d302f479cf65506b | 2014 | 0.13 | 0.16 | 16.20 | 13.46 |
621f47b8d302f479cf65506c | 2015 | 0.01 | -0.02 | -1.85 | 1.23 |
621f47b8d302f479cf65506d | 2016 | 0.12 | 0.22 | 21.72 | 12.00 |
621f47b8d302f479cf65506e | 2017 | 0.22 | 0.23 | 23.15 | 21.71 |
621f47b8d302f479cf65506f | 2018 | -0.05 | -0.02 | -1.71 | -4.57 |
621f47b8d302f479cf655070 | 2019 | 0.31 | 0.11 | 10.89 | 31.22 |
621f47b8d302f479cf655071 | 2020 | 0.18 | 0.18 | 18.36 | 18.33 |
621f47b8d302f479cf655072 | 2021 | 0.29 | 0.38 | 37.62 | 28.73 |
621f47b8d302f479cf655073 | 2022 | -0.05 | -0.09 | -9.06 | -4.63 |
_id | spy_yearly_returns | momo_yearly_returns |
_id | Summary Statistics | Value |
---|---|---|
621f47b4d302f479cf654fee | annual_return | 0.17 |
621f47b4d302f479cf654fef | annual_volatility | 0.20 |
621f47b4d302f479cf654ff0 | sharpe_ratio | 0.86 |
621f47b4d302f479cf654ff1 | calmar_ratio | 0.56 |
621f47b4d302f479cf654ff2 | stability_of_timeseries | 0.96 |
621f47b4d302f479cf654ff3 | max_drawdown | -0.30 |
621f47b4d302f479cf654ff4 | omega_ratio | 1.17 |
621f47b4d302f479cf654ff5 | sortino_ratio | 1.23 |
621f47b4d302f479cf654ff6 | skew | -0.32 |
621f47b4d302f479cf654ff7 | kurtosis | 5.75 |
621f47b4d302f479cf654ff8 | tail_ratio | 1.00 |
621f47b4d302f479cf654ff9 | common_sense_ratio | 1.17 |
621f47b4d302f479cf654ffa | information_ratio | 0.01 |
621f47b4d302f479cf654ffb | alpha | 0.04 |
621f47b4d302f479cf654ffc | beta | 0.86 |
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 % |
---|---|---|---|---|---|---|---|---|---|---|---|---|
621f47b2d302f479cf654fe3 | FTNT | 2,988,248.13 | 439,520.37 | 257.73 | 9,889 | 0.07 | 0.17 | -0.10 | 0.76 | 7.36 | 17.24 | -9.78 |
621f47b2d302f479cf654fe4 | EXR | 8,665,925.54 | 201,663.27 | 192.96 | 43,865 | 0.21 | 0.02 | -0.04 | 37.25 | 21.35 | 2.38 | -4.49 |
621f47b2d302f479cf654fe5 | AMD | 2,743,021.93 | -761,830.36 | 149.21 | 23,489 | 0.07 | -0.22 | 0.17 | 38.43 | 6.76 | -21.74 | 16.95 |
621f47b2d302f479cf654fe6 | NVDA | 2,732,107.82 | 211,452.78 | 227.31 | 11,089 | 0.07 | 0.08 | -0.05 | 51.87 | 6.73 | 8.39 | -4.70 |
621f47b2d302f479cf654fe7 | XLNX | 3,465,245.36 | -293,278.19 | 215.10 | 17,473 | 0.09 | -0.08 | 0.07 | 84.93 | 8.54 | -7.80 | 6.52 |
621f47b2d302f479cf654fe8 | LYV | 4,595,974.11 | -403,595.48 | 120.84 | 41,372 | 0.11 | -0.08 | 0.09 | 88.47 | 11.32 | -8.07 | 8.98 |
621f47b2d302f479cf654fe9 | TSLA | 2,220,100.00 | -375,065.53 | 1,088.58 | 2,384 | 0.05 | -0.14 | 0.08 | 95.79 | 5.47 | -14.45 | 8.34 |
621f47b2d302f479cf654fea | APA | 5,340,326.74 | 820,575.24 | 29.38 | 153,860 | 0.13 | 0.18 | -0.18 | 200.73 | 13.16 | 18.16 | -18.25 |
621f47b2d302f479cf654feb | F | 4,111,554.18 | -706,558.01 | 24.21 | 199,020 | 0.10 | -0.15 | 0.16 | 259.17 | 10.13 | -14.66 | 15.72 |
621f47b2d302f479cf654fec | DVN | 4,545,651.60 | 419,728.41 | 47.71 | 86,485 | 0.11 | 0.10 | -0.09 | 293.49 | 11.20 | 10.17 | -9.34 |
621f47b2d302f479cf654fed | CASH | -820,017.83 | 0.00 | 1.00 | -820,017 | -0.02 | 0.00 | 0.00 | 0.00 | -2.02 | 0.00 | 0.00 |