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

 

 

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

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