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Momentum strategy | Equal weighting, 5% per stock | 10 long and 10 short positions based on companies with the strongest and the worst momentum. Momentum indicator determined by dividing 3 day simple moving average by 10 day simple moving average. Portfolio rebalanced once a week. | Short position: Veririsk Analytics Inc.| Rank: 3
Firms are allocated to the portfolio based on the momentum investment strategy: all firms are from the NASDAQ-100 Technology sector index which was sorted by YTD (year to date) price development. The fund decided to go long in all firms which had YTD returns of over 15% on 30th of October. $1,500,000 was divided with equal weights between the 47 stocks. Rank: 41
Following our momentum investment strategy this stock was in the top 15 gainers of the S&P500 index in 3-month-period. Stock fulfilled our requirement of not being in dangerous or harmful industry.
25% of the initial capital is invested in 10 hand-picked stocks. All of these stocks can be found in a sustainability-oriented iShares MSCI ACWI Low Carbon Target ETF. In general, sustainable companies tend to be better in long-term strategic planning, which make them tempting investment targets. Additionally, these stocks we have chosen to our portfolio have been constantly over a time period of at least year performed better than Nasdaq composite index. Thus we are trying to capitalize on momentum strategy.