Momentum Strategy holding 5 to 50 stocks rebalanced monthly | Jan 2007 to Dec 2019
Stocks | 5 |
---|---|
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 10 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 15 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 20 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 25 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 30 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 35 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 40 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 45 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index | |
Stocks | 50 |
CAGR | |
Max DD | |
Sharpe | |
Ulcer Index |
Stocks | CAGR | Max DD | Sharpe | Ulcer Index |
---|---|---|---|---|
5 | ||||
10 | ||||
15 | ||||
20 | ||||
25 | ||||
30 | ||||
35 | ||||
40 | ||||
45 | ||||
50 |