No. of Recommendations: 9
Another risk metric
The last few weeks have been brutal for the stocks in these momentum screens.
So I though of a new risk metric: How often does the screen have a loss month? If they are getting, say, 20% long-term return with half the months showing a loss, then a bad month isn't something to worry about.
Fairly easy to add that to my spreadsheet.
So, yeah, about one-thirds of the months have a loss. This is not a strategy for the weak at heart.
PHL-52 5 HTD 12 the cycle with the median 1985-2026 return.
Median1985 Untimed
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 29.3% CAGR 23.1% CAGR 35.1%
Stdev 33.1% Stdev 29.1% Stdev 36.4%
MDD(12) -61% MDD(12) -55% MDD(12) -61%
Sortino 1.67 Sortino 1.46 Sortino 1.84
Mo w/loss 39% Mo w/loss 38% Mo w/loss 40%
Median1985 65 wk SMA for 1 wks -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 28.8% CAGR 23.8% CAGR 33.4%
Stdev 30.6% Stdev 26.8% Stdev 33.6%
MDD(12) -49% MDD(12) -32% MDD(12) -49%
Sortino 1.80 Sortino 1.66 Sortino 1.92
Mo w/loss 31% Mo w/loss 29% Mo w/loss 32%
Median1985 52 wk SMA for 1 wks -4% below IXIC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 27.9% CAGR 24.3% CAGR 31.2%
Stdev 29.6% Stdev 26.5% Stdev 32.0%
MDD(12) -38% MDD(12) -31% MDD(12) -38%
Sortino 1.86 Sortino 1.69 Sortino 1.99
Mo w/loss 29% Mo w/loss 28% Mo w/loss 29%
RS-52 5 HTD 12 the cycle with the median 1985-2026 return.
Median1985 Untimed
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 27.5% CAGR 22.4% CAGR 32.1%
Stdev 35.6% Stdev 29.6% Stdev 40.1%
MDD(12) -70% MDD(12) -52% MDD(12) -70%
Sortino 1.43 Sortino 1.28 Sortino 1.56
Mo w/loss 38% Mo w/loss 37% Mo w/loss 40%
Median1985 65 wk SMA for 1 wks -4% below GSPC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 27.0% CAGR 24.6% CAGR 29.2%
Stdev 32.4% Stdev 26.7% Stdev 36.7%
MDD(12) -49% MDD(12) -43% MDD(12) -49%
Sortino 1.59 Sortino 1.61 Sortino 1.58
Mo w/loss 30% Mo w/loss 28% Mo w/loss 31%
Median1985 52 wk SMA for 1 wks -4% below IXIC
2/1/1985 12/1/2025 9/1/2006 12/1/2025 2/1/1985 9/1/2006
CAGR 26.5% CAGR 25.4% CAGR 27.5%
Stdev 31.2% Stdev 26.2% Stdev 35.1%
MDD(12) -34% MDD(12) -32% MDD(12) -34%
Sortino 1.68 Sortino 1.69 Sortino 1.68
Mo w/loss 29% Mo w/loss 27% Mo w/loss 30%
