Quantitative Momentum Investor

Based on the book by Wesley Gray

Quantitative Momentum Investor Strategy Explanation Video

Since 2005, this portfolio has returned 407.4%, outperforming the market by 124.0% using its optimal monthly rebalancing period and 20 stock portfolio size.

Quantitative Momentum
S&P 500
* Returns are model returns and do not reflect actual trading. Full performance disclaimer

This momentum model looks for stocks with strong and consistent intermediate-term relative performance.

Annual Return: 10.7% S&P 500: 8.8%
Year To Date: -12.7% S&P 500: 27.4%
Beta: 1.21 Accuracy: 49.6%
Full Return History

Portfolio Holdings


Ticker Date Added Return
WRLD 12/10/2021 9.03%
PRFT 10/15/2021 2.73%
IT 12/10/2021 3.37%
FTNT 11/12/2021 6.96%
ENTA 12/10/2021 7.34%
NAVI 12/10/2021 3.56%
TBK 12/10/2021 -5.88%
BOOT 12/10/2021 -5.56%
AMEH 7/23/2021 -36.61%
HRI 4/1/2021 52.31%
CDMO 10/15/2021 13.53%
PACK 12/10/2021 -1.35%
SITM 12/10/2021 0.38%
DEN 10/15/2021 3.08%
WLL 11/12/2021 -1.51%
PLYM 12/10/2021 3.85%
DDS 11/12/2021 -23.33%
ORMP 11/12/2021 -54.69%
EPAM 12/10/2021 -2.14%
CTRN 12/10/2021 -4.14%

Latest Changes

Last Rebalancing: 12/10/2021  Next Rebalancing: 1/7/2022

Additions Deletions
SITM ASAN
BOOT ATLC
TBK CALX
NAVI CELH
ENTA CUBI
EPAM DAVA
CTRN GDYN
IT INMD
WRLD JYNT
PLYM MCB
PACK VRTV

Current Top Rated Stocks

The stocks that would be in this portfolio if it were rebalanced today.

Ticker Current
Score
LPX 100%
CCB 100%
MCB 100%
BOOT 100%
AMEH 100%
TBK 100%
FTNT 100%
IT 100%
PACK 100%
PRFT 100%
WRLD 100%
CUBI 100%
SFBS 100%
NAVI 100%
SITM 100%
CDMO 100%
DEN 100%
ENTA 100%
GPRE 100%
HRI 100%

Quantitative Momentum Investor Strategy Description Video

Performance Disclaimer: Returns presented on Validea.com are model returns and do not represent actual trading. As a result, they do not incorporate any commissions or other trading costs or fees. Model portfolios with inception dates on or after 12/30/2005 include a combination of back tested and live model returns. The back-tested performance results shown are hypothetical and are not the result of real-time management of actual accounts. The back-testing of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. Back-tested returns are presented to provide general information regarding how the underlying strategy behind the portfolio performed in our historical testing. A back-tested strategy has the benefit of hindsight and the results do not reflect the impact that material economic or market factors may have had on advisor's decision-making if actual client assets were being managed using this approach. The model portfolios offered on Validea are concentrated and as a result they will exhibit high levels of volatility and their performance can be substantially impacted by the performance of individual positions.

Optimal portfolios presented on Validea.com represent the rebalancing period that has led to the best historical performance for each of our equity models. Each optimal portfolio was determined after the fact with performance information that was not available at portfolio inception. As a result, an investor could not have invested in the optimal portfolio since its inception. Optimal portfolios are presented to allow investors to quickly determine the portfolio size and rebalancing period that has performed best for each of our models in our historical testing.

Both the model portfolio and benchmark returns presented for all equity portfolios on Validea.com are not inclusive of dividends. Returns for our ETF portfolios and trend following system, and the benchmarks they are compared to, are inclusive of dividends. The S&P 500 is presented as a benchmark because it is the most widely followed benchmark of the overall US market and is most often used by investors for return comparison purposes. As with any investment strategy, there is potential for profit as well as the possibility of loss and investors may incur a loss despite a past history of gains. Past performance does not guarantee future results. Results will vary with economic and market conditions.