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Investment Strategies / Mechanical Investing
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Author: musselmant ✭  😊 😞
Number: of 5384 
Subject: Re: study of top 10 52wk mom stocks in Nasdaq100
Date: 02/22/26 2:09 PM
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No. of Recommendations: 7
10 stock top 52-week momentum of Nasdaq100 stocks with timing increases the CAGR, reduces the beta, increases the sharpe. You end up with over twice the S&P return with the S&P's beta and better Sharpe than the S&P with MDD less than .5% worse than the S&P's MDD. And likewise v. the Nasdaq100 more than twice the CAGR with less risk than QQQ.

19850201-20251128 monthly trading, .1 spread
S&P500  v. strategy v. strategy timed  v. nasdaq100
cagr 12.5   24.2        25.18              11.46
gsd  20     35.2        31.77              27.34
ldd  13     20.1        18.05              17.27
mdd -59.7  -73.88      -60.18             -80.85
ui   10     23.48       17.5               27.39
shp   .57     .77         .84                .44
beta  1.0    1.29        1.00               1.29
ti   9.5    17.9        23.04               8.17
at    .87    7.9         4.15                .68

timing version one with 2 timing criteria:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:r...

timing version 2 with 1 timing criteria:
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:a...
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