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
61a7616b553991761130c520	2014	0.13	0.12	12.47	13.46
61a7616b553991761130c521	2015	0.01	0.08	7.91	1.23
61a7616b553991761130c522	2016	0.12	0.08	8.18	12.00
61a7616b553991761130c523	2017	0.22	0.30	30.06	21.71
61a7616b553991761130c524	2018	-0.05	-0.06	-6.08	-4.57
61a7616b553991761130c525	2019	0.31	0.14	14.20	31.22
61a7616b553991761130c526	2020	0.18	0.14	14.17	18.33
61a7616b553991761130c527	2021	0.23	0.38	37.93	23.04
_id		spy_yearly_returns	momo_yearly_returns

_id	Summary Statistics	Value
61a76167553991761130c4a6	annual_return	0.17
61a76167553991761130c4a7	annual_volatility	0.20
61a76167553991761130c4a8	sharpe_ratio	0.91
61a76167553991761130c4a9	calmar_ratio	0.53
61a76167553991761130c4aa	stability_of_timeseries	0.96
61a76167553991761130c4ab	max_drawdown	-0.32
61a76167553991761130c4ac	omega_ratio	1.18
61a76167553991761130c4ad	sortino_ratio	1.26
61a76167553991761130c4ae	skew	-0.60
61a76167553991761130c4af	kurtosis	7.63
61a76167553991761130c4b0	tail_ratio	0.98
61a76167553991761130c4b1	common_sense_ratio	1.14
61a76167553991761130c4b2	information_ratio	0.01
61a76167553991761130c4b3	alpha	0.05
61a76167553991761130c4b4	beta	0.80

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 %
61a76164553991761130c49b	NUE	2,781,780.54	162,077.19	100.07	26,179	0.07	0.06	0.05	1.33	6.81	6.19	4.63
61a76164553991761130c49c	DFS	2,534,882.90	218,285.29	98.56	23,504	0.06	0.09	0.06	5.34	6.21	9.42	6.23
61a76164553991761130c49d	PWR	3,946,879.73	1,040,301.39	83.79	34,689	0.10	0.36	0.30	53.25	9.67	35.79	29.71
61a76164553991761130c49e	BBWI	3,810,392.62	1,455,795.39	46.43	50,718	0.09	0.62	0.42	60.03	9.33	61.83	41.58
61a76164553991761130c49f	RMD	7,372,810.50	-818,183.01	283.13	28,930	0.18	-0.10	-0.23	60.29	18.06	-9.99	-23.37
61a76164553991761130c4a0	WST	5,804,600.58	-160,873.57	454.93	13,113	0.14	-0.03	-0.05	67.60	14.22	-2.70	-4.59
61a76164553991761130c4a1	NVDA	4,304,862.72	1,457,798.07	216.08	13,176	0.11	0.51	0.42	106.92	10.55	51.20	41.64
61a76164553991761130c4a2	IT	4,646,280.00	-29,343.43	314.22	14,880	0.11	-0.01	-0.01	124.50	11.38	-0.63	-0.84
61a76164553991761130c4a3	FTNT	3,601,390.00	873,926.44	251.52	10,844	0.09	0.32	0.25	157.36	8.82	32.04	24.96
61a76164553991761130c4a4	MRNA	2,046,907.63	-35,864.31	358.60	5,808	0.05	-0.02	-0.01	390.04	5.01	-1.72	-1.02
61a76164553991761130c4a5	CASH	-29,999.35	0.00	1.00	-29,999	0.00	0.00	0.00	0.00	-0.07	0.00	0.00