Momentum Model

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