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 | 15.5% | 15.4% |
| Volatility (ann.) | 38.7% | 16.7% |
| Sharpe | 0.49 | 0.76 |
| Sortino | 0.70 | 1.09 |
| Max drawdown | -66.7% | -31.3% |
| Calmar | 0.23 | 0.49 |
| Simulated since | 2021-08 | 2021-04 |
Simulated backtests (~5 years of point-in-time data, costs included) — not live results. Methodology: here. Past performance does not predict future results.
What the data says
- Cross-Sectional Momentum posted the higher CAGR (15.5% vs 15.4%).
- Trend Following (200-day MA) fell less at its worst (-31.3% vs -66.7%).
- Trend Following (200-day MA) had the calmer ride (volatility 16.7% vs 38.7%).
These are facts from the published snapshots, not a recommendation — different rules fit different risk tolerances. Overlay both equity curves in the interactive comparison tool.