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 2024-May-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