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AGFiQ US Market Neutral Momentum (MOM)

NYSEArca - Nasdaq Real-time price. Currency in USD
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21.54-0.25 (-1.15%)
At close: 04:12PM EDT

Risk statistics

3 yearsMOMCategory average
5 yearsMOMCategory average
10 yearsMOMCategory average
Alpha
-10.35-1.14
-6.13-0.11
0N/A
BETA
2.10.22
1.530.13
0N/A
Mean annual return
-0.07-0.01
-0.110.03
0N/A
R-squared
16.8210.79
11.098.96
0N/A
Standard deviation
17.286.26
14.837.49
0N/A
Sharpe ratio
-0.130
-0.170.14
0N/A
Treynor ratio
-1.7952.26
-2.3-25.8
0N/A