Factor Momentum III

A momentum model that goes long the best performing factor ETF in the previous month.

Rebalanced once a month.

This model was created on 2019-Dec-10 and was last updated on 2021-Jun-02
Minimum investment: $1000
Created by: FreeFloat
Cumulative Returns
lookback (days) strategy SPY MTUM
{{item.LB === 2147483647 ? 'inception' : item.LB}}
risk-free rate: 2.5%; MAR: 0%; benchmark: SPY
symbol weightage
From Trough To Depth Length To Trough Recovery
{{dd.FROM_DT ? moment(dd.FROM_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TROUGH_DT ? moment(dd.TROUGH_DT).format('YYYY-MMM-DD') : '-'}} {{dd.TO_DT ? moment(dd.TO_DT).format('YYYY-MMM-DD') : '-'}} {{numeral(dd.DEPTH).format('#,0.00%')}} {{dd.LENGTH}} {{dd.TROUGH}} {{dd.RECOVERY}}
Strategy vs. SPY and MTUM