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Unleveraged ETF research · Research strategy

A03 · Risk-adjusted momentum mix

Weights QQQM and SMH by positive momentum divided by their recent volatility.

QQQM, SMH, and settled cashMonthlyUnleveraged ETF exposure

The idea

How it works

Weights QQQM and SMH by positive momentum divided by their recent volatility.

Why it might work

Strong momentum with lower volatility may deserve a larger allocation.

When it invests

At monthly reviews, split up to 99% across eligible funds in proportion to positive risk-adjusted momentum scores.

When it exits

Exit a fund below its 200-day average.

What can go wrong

  • Historical signals can reverse before a delayed order fills.
  • Sector concentration and trend reversals can cause substantial losses.

Selected research result

A03 · QQQM + SMH · v3 base backtest

A03 on QQQM + SMH passed the repaired v3 study's historical qualification gates. This is a simulated research result, not live or paper authorization.

Total return157.0%Change in simulated portfolio value over the test.
Annualized return37.0%Yearly compounded return; shown only when supported.
Worst drawdown18.9%Largest fall from an earlier portfolio high.
Sharpe ratio1.46Return relative to variability, under the source study's definition.
Trades5Completed simulated trades, when reported.

Read assumptions and limitations →

Research history

Variants and recorded runs

Repeated and diagnostic runs remain accessible under their tested variant. No run is selected by highest return.

QQQM SMH1 result