{"id":40890253,"date":"2023-04-21T13:20:52","date_gmt":"2023-04-21T07:50:52","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890253"},"modified":"2023-04-21T13:21:02","modified_gmt":"2023-04-21T07:51:02","slug":"momentum-portfolio-size","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/04\/21\/momentum-portfolio-size\/","title":{"rendered":"Momentum Portfolio Size"},"content":{"rendered":"\n<p>Previously, we looked at <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2023\/04\/14\/momentum-skip-month\/\" target=\"_blank\">skip-months<\/a>, <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/index.php\/2023\/04\/18\/momentum-rebalance-frequency\/\" target=\"_blank\">rebalance frequencies<\/a> and <a rel=\"noreferrer noopener\" href=\"https:\/\/stockviz.biz\/2023\/04\/21\/momentum-formation-period\/\" target=\"_blank\">formation periods<\/a> for momentum portfolios. A 1-month skip &amp; monthly rebalance turned out to be ideal. However, the most popular 12-month formation period is &#8220;magic&#8221; &#8211; not a terrible choice but not super scientific either. The only thing left to toggle is the portfolio size.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/portfolio-size\/symStatsTop.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>A 20-stock momentum portfolio seems to be the ideal config. <\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/portfolio-size\/symRetsAll.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>This is pretty much the standard direct-equity momentum portfolio: 12-month formation, 1-month skip, 20-stocks with a monthly rebalance.<\/p>\n\n\n\n<p>Code and chart on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/portfolio-size\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Previously, we looked at skip-months, rebalance frequencies and formation periods for momentum portfolios. A 1-month skip &amp; monthly rebalance turned out to be ideal. However, the most popular 12-month formation period is &#8220;magic&#8221; &#8211; not a terrible choice but not super scientific either. The only thing left to toggle is the portfolio size. A 20-stock &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2089693,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491],"class_list":["post-40890253","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890253","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890253"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890253\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2089693"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890253"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890253"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890253"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}