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By Opalesque Geneva: Data from 2004 to 2024 reveals that momentum portfolios achieved an average annual return of 23.69%, compared to 11.97% for broad market indices like S&P 500. While momentum strategies come with higher volatility, they compensate for this through superior Sharpe ratios, highlighting their strong risk-adjusted performance, according to the co-founders of technology equity firm MQuants, who conclude in an article last month that, "Momentum is one of the most robust and scientifically validated investment factors, consistently demonstrating effectiveness in both stable and volatile markets."
A good example of that line of thinking would be the J8 Redwood Strategy (J8 RWS), run by London-based asset manager J8 Capital.
J8 RWS is a fully systematic, higher-frequency momentum strategy, which returned 5.7% in April 2025 (4% YTD). Since its inception in January 2015, the $1.6m strategy has annualised 15% p.a. with 15% volatility.
Utilizing quantitative models to analyse historical data, the strategy identifies and capitalizes on short-term market patterns. The risk and performance weighted portfolio is managed to a target volatility. The strategy trades highly liquid global futures markets across different time zones.
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