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202 of stock are bought. The stock is ranked 23 based on the best performing YTD returns of the s&p-500 index from start of the year until 3.11.2020 which is in line with our momentum strategy. 202 stocks are bought so that the target weight of 2.5% (+-1%) would be achieved in the portfolio.
Long position. Part of our passive small cap healthcare investment strategy. The initial position (~10% of our portfolio @ leverage of 1) is based on our selection of the smallest cap stocks in the S&P 500 Healthcare index in the same proportion as the stock's share of the whole index. The limit of a stock's weight in our portfolio is 15% and rebalancing will be accordingly.
The fund follows the return seasonality strategy by investing into stocks with exceptionally high or low returns during the same-calendar-months. This stock has had top 10 highest February- returns within the S&P 500 -index during the last decade. The portfolio will be equally weighted between 10 long and 10 short positions on different stocks.
Initial short positions of the fund will be based on the worst-performing stocks of S&P500 in 2019. Abiomed among the worst-performing stocks and will have an equally weighted share within the fund.
Short position. Medical device maker Abiomed had a rough year in 2019. -48,6% down in 2019 due to missed earnings and a warning from U.S. Food and Drug Administration that questioned the safety of their heart pump device paired with a negative study presented at the American Heart Association’s conference. Abiomed’s past growth and future outlooks are all tied to the success of their Impella RT heart pump device.
Long-short 12 month momentum S&P 500. Equal weight. This stock was on 14.1.2020 at 19.15 (Eastern European) in the worst 10 performers of S&P 500 of the past 12 month period. Rank 1.