risk-adjusted momentum?

[Candreoutrade]

I am looking at portfolios and have seen the following description

“The NASDAQ 100 is a sub-strategy that uses proprietary risk-adjusted momentum to pick the most appropriate 4 NASDAQ 100 stocks. It is part for the Nasdaq 100 hedged strategy where it is combined with a variable hedge.”

Is it possible to shed any details on what is meant by risk-adjusted momentum? Does it just mean the sharp ratio or something close to what Andreas clenow uses like a regression?

Also when stocks have a negative risk adjusted momentum does it still pick them? Or what if a stock jumps really high like 10% overnight?

Sorry for al the questions, but what be great to understand this a little more.

[Frank1 Grossmann]

It is a sort of sharpe ratio, however in our QuantTrader software, we are able to vary the importance of the volatility from a ranking, which just is a performance ranking, to a ranking where performance has a much lower importance than low volatility. The volatility factor which describes the importance of volatility in this formula is determined by back tests and can be different for the different strategies. In contrast to the standard sharpe ratio, our ranking formula works also for stocks with negative performance.

[Candreoutrade]

Thanks Frank.

Does that mean if all stocks are falling and have a negative return, will the strategy still invest you in these falling stocks in a bear market?

[Frank1 Grossmann]

Yes, it will still invest in the best stocks, even if all stocks have negative returns. It will just choose the least negative returns.

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