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US Cloud Computing Sector Momentum Spillover (Arbitrum)

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.
Tier 1
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Arbitrum)Strategy
-88.3%
-51.3%
96.3%
33.6%
-0.13
-0.02
-44.4%
-6.1%
0.00
0.02
1.00
0.24

Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:

  • 100% Long when the predictive factor is close to 1, with a position size equivalent to the predictive factor value.
  • Flat when the predictive factor is close to 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.05% transaction costs applied on each position adjustment.

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0.33
-0.02
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-0.03
0.01

Factor Analysis

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ARB Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

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▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

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Scatter plot - US Cloud Computing Sector Momentum Spillover and ARB 30 and 90 Day Average Returns

Replicate the backtest

Get started by replicating the historical performance with our code snippets.

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