Fast Momentum 6-1 (High Risk) vs Cross-Sectional Momentum
Two published track records side by side — same data, same methodology, zero verdicts.
Fast Momentum 6-1 (High Risk)
coreHolds the 5 strongest names by 6-month return (skipping the last month), refreshed monthly. The most aggressive core strategy: its simulated drawdowns are among the deepest on the core shelf (see the simulated stats beside this text) and its wins cluster in rebound markets. High risk, high variance.
Full track record →
Cross-Sectional Momentum
coreHolds the strongest-trending names (12-month return, skipping the last month), equally weighted, refreshed monthly.
Full track record →
The numbers, side by side
| Fast Momentum 6-1 (High Risk) | Cross-Sectional Momentum | |
|---|---|---|
| CAGR | 25.6% | 13.5% |
| Volatility (ann.) | 40.9% | 42.1% |
| Sharpe | 0.68 | 0.43 |
| Sortino | 0.98 | 0.62 |
| Max drawdown | -52.4% | -65.0% |
| Calmar | 0.49 | 0.21 |
| Simulated since | 2021-04 | 2021-10 |
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
- Fast Momentum 6-1 (High Risk) posted the higher CAGR (25.6% vs 13.5%).
- Fast Momentum 6-1 (High Risk) fell less at its worst (-52.4% vs -65.0%).
- Fast Momentum 6-1 (High Risk) had the calmer ride (volatility 40.9% 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.