US Cloud Computing Sector Momentum Spillover (Aave)
Tier 1

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

Overview

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AAVE Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

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

Our Methodology

0.24

Overall

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

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

Backtest - Strategy Performance

	Benchmark (Aave)	Strategy
Max Drawdown	-92.2%	-69.5%
Volatility	113.4%	78.1%
Sharpe Ratio	0.90	1.08
CAGR	47.5%	73%
Alpha	0.00	0.24
Beta	1.00	0.59

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 0.5% transaction costs applied on each position adjustment.

Reproduce the backtest using our API

Get started by replicating the historical performance with our code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.