This test represents the equity selection and performance of a 50-stock portfolio based on Sabrient's published Micro-cap Momentum Rankings.
Updated: June 25, 2008
Test Parameters
Period covered: April 10, 2002 - June 10, 2008
Stocks sorted by: Sabrient Momentum Score
Weighting: An equal dollar weight is given to each of the 50 stocks.
Rebalancing: The test portfolio is rebalanced once a month on the date of the next published rankings.
Dividends: Results include dividends for both test portfolio and Russell 2000 Index.
|
|
Stats |
Sabrient Micro-cap Momentum Rankings |
Benchmark:
Russell 2000 Index |
| Annualized Rate of Return |
26.7% |
7.3% |
| Annualized
Volatility |
23.2% |
18.0% |
| Annualized Differential Return |
18.3% |
|
| Alpha |
18.82% |
|
| Beta |
1.05 |
|
| Sharpe Ratio vs. Benchmark |
1.36 |
|
| Simple Sharpe Ratio |
0.99 |
0.23 |
| Drawdown |
-15.2% |
-12.5% |
| Correlation with Benchmark |
81.6% |
|
|
Micro-cap Momentum Rankings: April 10, 2002 - June 10, 2008 |
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Disclaimer: These reports are published
solely for informational purposes and are
not to be construed as advice or a
recommendation to specific individuals.
Individuals should take into account their
own unique and specific circumstances in
acting on any stock selection made by
Sabrient. Sabrient makes no representations
that the techniques used in these reports
will result in or guarantee profits in
trading. Trading involves risk, including
possible loss of principal and other losses,
and past performance is no indication of
future results.
