Strategy Report: Msci World Momentum strategy

| Strategy Description

Momentum-based strategies like this one focus on investing in assets that are showing a strong upward trend. This particular strategy picks 10 large global stocks from index Msci World Momentum and buys them evenly at the beginning of each year.

Key StatisticsBacktestLiveBacktestLive
Runtime Days3613{{$KPI-DAYS-LIVE}} Drawdown29.9%{{$KPI-LIVE-DRAWDOWN}}
Turnover0%{{$KPI-LIVE-TURNOVER}} Probabilistic SR73%{{$KPI-LIVE-PSR}}
CAGR29.4%{{$KPI-LIVE-CAGR}} Sharpe Ratio1.2{{$KPI-LIVE-SHARPE}}
Capacity (USD)- Sortino Ratio1.2{{$KPI-LIVE-SORTINO}}
Trades per Day0.1{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio1.3{{$KPI-LIVE-INFORMATION-RATIO}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Msci World Momentum strategy
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Msci World Momentum strategy
Market Sell-Off 2015
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Msci World Momentum strategy
Parameters
enable_trailing_stop False