April 28, 2024

New TopMomentum MSCI World backtest

Last Updated on April 28, 2024 by The New Belgian Dentist

We published a new backtest of our TopMomentum strategy. This time we applied the strategy on the stocks of MSCI World.

As we demonstrated for S&P500, Top-Momentum portfolios based on MSCI World have superior returns compared to an equally weighted portfolio consisting of all stocks of MSCI World. This comes with a cost of higher volatility and larger maximum Breakdown. Optimal parameter settings are R4, n15 and a loopback period of 12 months (Mom_12M).

The superior returns are not caused by a limited number of excellent years. Most of the years the TopMomentum strategy outperforms the benchmark.

Results of the backtest can be found here.