Return and Drawdown by # of stocks in momentum strategy
x-axis: No. of stocks in momentum portfolio | y-axis: % Return (green) and % Max Drawdown (red)
−90
−80
−70
−60
−50
−40
−30
−20
−10
0
10
20
2
4
6
8
10
12
14
16
18
20
22
24
26
28
30
32
34
36
38
40
42
44
46
48
50
Optimal number of stocks
CAR
Max. Sys % Drawdown
CAR
Max. Sys % Drawdown
Returns peak between 20 and 30 stocks and taper off with increasing number of stocks
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