HighIR Momentum

Automated Relative-Momentum Strategy.

A momentum strategy based on relative Information Ratio (IR) scores:

  1. On the top 200 stocks by free-float market value,
  2. Sort by descending order of relative IR,
  3. Sort again by ascending order of Information Discreteness scores on the top 50.

This Theme consists of an equally weighted portfolio of stocks selected by the above criteria and rebalanced automatically.

This theme was created on Dec 31, 2015 and
was last modified on Aug 11, 2017


Theme Risk Analytics
Projected
Alpha
Beta
Risk Premium
Sharpe Ratio (StDev)
Sharpe Ratio (VaR)
Sharpe Ratio (ES)
Information Ratio
Historical
Alpha
Beta
Bull Beta
Bear Beta
Risk Premium
Sharpe Ratio (StDev)
Sharpe Ratio (VaR)
Sharpe Ratio (ES)
Information Ratio
Portfolio Composition
Weightage
Theme Risk Analytics
Alpha
Beta
Risk Premium
Sharpe Ratio (StDev)
Sharpe Ratio (VaR)
Sharpe Ratio (ES)
Information Ratio
Theme Performance