Based on the JP Morgan Momentum Model that has been introduced, use
the following similar rules and create a new portfolio
Rank the 15 assets by past performance for previous six months using the historic prices supplied for the
Individual Report in Excel
Start at the 7th month in 2006, looking back to the first month’s prices (January 2006)
Only invest in Top 5 performing assets per the previous six months, equally weighting the portfolio (20% per
asset)
Every six-months compute the past 6-months of performance for your 5 assets, but also calculate the returns
of the other 10 assets
Reinvest your all of your portfolio capital equally (20%) in the new Top 5 assets
Repeat until the last period
Calculate the cumulative return, and per annum returns, for this momentum strategy
Maximum 200-word Observation: how did this momentum strategy perform vs. being long each of the
individual 15 assets for the same period?
Sample Solution