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US Cloud Computing Sector Momentum Spillover (Filecoin)

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 (Filecoin)Strategy
-98.9%
-81.5%
152.5%
112.6%
0.65
0.85
-5.7%
45.1%
0.00
0.33
1.00
0.62

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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-0.05
0.86
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-0.01
0.03

Factor Analysis

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FIL 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 FIL 30 and 90 Day Average Returns

Replicate the backtest

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

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