PERFORMANCE TEST: Mid-cap Momentum Rankings
This test represents the equity selection and performance of a 50-stock portfolio based on Sabrient's published Mid-cap Momentum Rankings.
Updated: January 18, 2010
Period covered: April 23, 2002 - January 12, 2010
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 Midcap Index.
|Stats||Sabrient Mid-cap Momentum Rankings||
Russell Midcap Index
|Annualized Rate of Return||5.7%||6.1%|
|Annualized Differential Return||-1.2%|
|Sharpe Ratio vs. Benchmark||-0.1|
|Simple Sharpe Ratio||0.12||0.13|
|Correlation with Benchmark||82.5%|
|Mid-cap Momentum Rankings: April 23, 2002 - January 12, 2010|