MarketHeist Portfolio · Strategy
by Jegadeesh & Titman (lineage)
Cross-sectional momentum: the assets that have outperformed their peers recently tend to keep outperforming over the next few months. Rotating into the strongest sectors and dropping the laggards harvests that persistence. Skipping the most recent month avoids the short-term reversal effect.
CAGR 11.5% |
Max Drawdown -16.0% |
Sharpe 0.76 |
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