Momentum
momentumCross-sectional trend persistence ranking the universe by trailing risk-adjusted return.
How the factor is constructed
The market-neutral momentum index exploits cross-sectional price inefficiencies, capturing short-term, asset-specific momentum signals. By maintaining balanced long and short exposures, it aims to deliver alpha while minimizing sensitivity to broader market movements.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Momentum vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Momentum's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | EW avg | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.00% | — | — | — | 0% |
| 3 months | +0.00% | — | — | — | 0% |
| Year to date | +0.00% | — | — | — | 0% |
| 1 year | +0.00% | — | 0% | 0.00 | 0% |
| Since inception | +0.00% | — | 0% | 0.00 | 0% |