Cross-Sectional Momentum vs Trend Following (200-day MA)
Two published track records side by side — same data, same methodology, zero verdicts.
Cross-Sectional Momentum
coreHolds the strongest-trending names (12-month return, skipping the last month), equally weighted, refreshed monthly.
Full track record →
Trend Following (200-day MA)
coreHolds names trading above their 200-day average; steps aside to cash when trends break down. Defensive by construction.
Full track record →
The numbers, side by side
| Cross-Sectional Momentum | Trend Following (200-day MA) | |
|---|---|---|
| CAGR | 13.5% | 14.0% |
| Volatility (ann.) | 42.1% | 16.8% |
| Sharpe | 0.43 | 0.67 |
| Sortino | 0.62 | 0.96 |
| Max drawdown | -65.0% | -31.5% |
| Calmar | 0.21 | 0.45 |
| Simulated since | 2021-10 | 2021-06 |
Simulated backtests (up to 6 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Trend Following (200-day MA) posted the higher CAGR (14.0% vs 13.5%).
- Trend Following (200-day MA) fell less at its worst (-31.5% vs -65.0%).
- Trend Following (200-day MA) had the calmer ride (volatility 16.8% vs 42.1%).
These are facts from the published snapshots, not a recommendation — the rules differ in their risk profile. Overlay both equity curves in the interactive comparison tool.