Momo (Relative) v1.1

An automated Relative Momentum strategy

Momentum strategies require traders to accept counter-intuitive positions. It is often hard to justify, fundamentally, why certain stocks that have run up will continue to do so. To avoid bias in decision making, this Theme automates a Relative Momentum strategy.

This theme was created on Jun 23, 2016 and
was last modified on May 29, 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