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Seasonality strategy: We short 15 stocks with the lowest average returns and buy 15 stocks with the highest average returns based on historical average returns in December from 2009-2020. We analyzed companies included in the S&P 500 index. In our fund we maintain the leverage level of 1.80. Short positions are initially equally weighted. Rank 11. in short position
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 lowest 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.