Global Equities Momentum II

A GEM dual-momentum model using an average of 6- through 12-month formation periods. Trades momentum ETFs.

Described here and here.

Rebalanced once a month.

This model was created on 2019-Mar-03 and was last updated on 2021-Jul-01
Minimum investment: $1000
Created by: FreeFloat
Cumulative Returns
lookback (days) strategy SPY MTUM
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Metrics
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risk-free rate: 2.5%; MAR: 0%; benchmark: SPY
Portfolio
symbol weightage
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Drawdowns
From Trough To Depth Length To Trough Recovery
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Strategy vs. SPY and MTUM