Momentum Alpha
Momentum
Active
Created: 2024-01-15
Net Value
$2.45M
+0.3% today
Total Return
+12.4%
Since inception
Sharpe Ratio
1.85
Risk-adjusted
Max Drawdown
-5.2%
Peak to trough
Win Rate
62.5%
Positive periods
Portfolio Description
A momentum-based strategy that selects stocks with strong price trends and positive momentum indicators. The strategy focuses on stocks showing consistent upward price movement over multiple timeframes, combined with positive earnings revisions and strong relative strength.
Asset Universe
The strategy operates on a universe of momentum stocks selected from the S&P 500 index. Stocks are filtered based on:
- Price momentum over 3, 6, and 12 months
- Relative strength vs. market benchmark
- Earnings momentum and revisions
- Minimum liquidity requirements
- Exclusion of financial and utility sectors
Universe Size
~150 stocks
Current Holdings
Last updated: 2025-01-16
| Symbol | Weight | Shares | Price | Value | Return |
|---|---|---|---|---|---|
| AAPL | 8.5% | 1,250 | $185.20 | $231,500 | +2.3% |
| MSFT | 7.8% | 850 | $385.50 | $327,675 | +1.8% |
| NVDA | 6.2% | 500 | $520.30 | $260,150 | +3.5% |
| GOOGL | 5.9% | 1,800 | $142.80 | $257,040 | +1.2% |
| AMZN | 5.5% | 1,200 | $152.40 | $182,880 | -0.5% |
Showing top 5 holdings. Total positions: 25
Performance Chart
Key Dates
Created
2024-01-15
Last Rebalance
2025-01-15
Next Rebalance
2025-01-22
Last Price Update
2025-01-16 16:00 ET
Settings
Rebalancing Period:
Weekly
Max Positions:
25
Min Position Size:
2%
Max Position Size:
10%