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
61487327ab6f2d26c7d812ae	2014	0.13	0.12	12.47	13.46
61487327ab6f2d26c7d812b1	2017	0.22	0.30	30.06	21.71
61487327ab6f2d26c7d812b5	2021	0.19	0.35	34.52	19.21
61487327ab6f2d26c7d812b3	2019	0.31	0.14	14.20	31.22
61487327ab6f2d26c7d812b4	2020	0.18	0.14	14.17	18.33
61487327ab6f2d26c7d812b0	2016	0.12	0.08	8.18	12.00
61487327ab6f2d26c7d812af	2015	0.01	0.08	7.91	1.23
61487327ab6f2d26c7d812b2	2018	-0.05	-0.06	-6.08	-4.57
_id		spy_yearly_returns	momo_yearly_returns

_id	Summary Statistics	Value
61487323ab6f2d26c7d81237	annual_volatility	0.20
61487323ab6f2d26c7d81236	annual_return	0.17
61487323ab6f2d26c7d81241	common_sense_ratio	1.17
61487323ab6f2d26c7d81242	information_ratio	0.01
61487323ab6f2d26c7d8123a	stability_of_timeseries	0.96
61487323ab6f2d26c7d8123b	max_drawdown	-0.32
61487323ab6f2d26c7d8123c	omega_ratio	1.18
61487323ab6f2d26c7d8123e	skew	-0.61
61487323ab6f2d26c7d8123f	kurtosis	7.83
61487323ab6f2d26c7d81243	alpha	0.05
61487323ab6f2d26c7d81239	calmar_ratio	0.54
61487323ab6f2d26c7d81240	tail_ratio	1.00
61487323ab6f2d26c7d81238	sharpe_ratio	0.91
61487323ab6f2d26c7d8123d	sortino_ratio	1.27
61487323ab6f2d26c7d81244	beta	0.79

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 %
61487320ab6f2d26c7d8122d	DFS	3,358,777.07	702,791.03	97.77	27,166	0.08	0.26	0.10	83.23	8.44	26.46	9.86
61487320ab6f2d26c7d8122e	NUE	1,824,963.71	42,787.75	102.43	17,399	0.05	0.02	0.01	134.95	4.58	2.40	0.60
61487320ab6f2d26c7d81234	MRNA	1,112,106.71	110,228.36	387.42	2,586	0.03	0.11	0.02	1,086.41	2.79	11.00	1.55
61487320ab6f2d26c7d81233	FTNT	3,681,318.79	590,180.37	251.48	12,292	0.09	0.19	0.08	227.04	9.25	19.09	8.28
61487320ab6f2d26c7d81235	CASH	180,402.81	0.00	1.00	180,402	0.00	0.00	0.00	0.00	0.45	0.00	0.00
61487320ab6f2d26c7d8122b	PWR	4,761,035.90	1,528,329.29	80.41	40,205	0.12	0.47	0.21	1.62	11.96	47.28	21.45
61487320ab6f2d26c7d8122c	BBWI	2,243,784.00	973,097.57	37.57	33,823	0.06	0.77	0.14	80.73	5.64	76.58	13.66
61487320ab6f2d26c7d81231	NVDA	2,726,769.00	-64,545.61	224.18	12,451	0.07	-0.02	-0.01	197.78	6.85	-2.31	-0.91
61487320ab6f2d26c7d81232	IT	5,510,512.05	-32,616.73	312.17	17,757	0.14	-0.01	0.00	203.81	13.84	-0.59	-0.46
61487320ab6f2d26c7d81230	WST	8,819,849.54	-218,726.76	459.74	19,660	0.22	-0.02	-0.03	170.31	22.15	-2.42	-3.07
61487320ab6f2d26c7d8122f	RMD	5,592,896.05	-173,442.04	294.82	19,559	0.14	-0.03	-0.02	154.12	14.05	-3.01	-2.43