On US equities from 2020 to 2023, the standard Momentum Transformer earns 4.14% annual returns with Sharpe 1.12, beating momentum but only slightly beating long-only.
Over this time period theclassicalmomentum strategy we sought to enhance struggled,averagingannual returnsof -1.07%andanaverageSharpeof -0.18
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Enhanced Momentum with Momentum Transformers
On US equities from 2020 to 2023, the standard Momentum Transformer earns 4.14% annual returns with Sharpe 1.12, beating momentum but only slightly beating long-only.