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
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