Volatility-scaled momentum · top 50 · Top 500 (after Barroso & Santa-Clara 2015)
'Momentum Has Its Moments' showed momentum crashes are predictable from momentum's own volatility. Approximation: rank on 12-1 return minus 6-month volatility so violent winners are down-weighted. Falsified if its worst drawdown is not smaller than plain 12-1 momentum's.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 4.38% | 6.59% |
| Volatility | 11.23% | 20.75% |
| Sharpe | 0.44 | 0.41 |
| Max drawdown | -33.93% | -60.91% |
| Turnover (per year) | 2.16 |
Deflated Sharpe: 0.27 (n trials: 225) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(ret(252) - ret(21)) - rank(vol(126))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 50,
"universe": "top500"
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/volatility-scaled-momentum-top-50-top-500-after-barroso-sant-319970/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy volatility-scaled-momentum-top-50-top-500-after-barroso-sant-319970 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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