July 9, 2022

TopMomentum Strategy hit by fall oil prices but YTD still outperforms the benchmark.

Last Updated on July 9, 2022 by The New Belgian Dentist

At the end of Q2 our TopMomentum R1n25 strategy seriously declined. A consequence of the concentration in energy-related stocks in combination with the fall of oil prices. As can be seen in figure 1 YTD results are still much better than the benchmark.

For our TopMomentum portfolios we use a Momentum variable that doesnot take into account price evolutions of the last month. More information about the construction of the TopMomentum portfolios can be found here. Since the variable skips the last month, the portfolio of july is still concentrated in energy/oil related stocks. We expect this will change in august.

Figure 1. YTD of R1n25 TopMomentum portfolio till july 9 2022. Sharp decline in june but YTD still better than the benchmark.