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Momentum
12-month total return, skipping the most recent month (12-1).
As of 2026-08-31 · 100 names held · backtest spans 230 months
Trailing returns
1W
-0.54%
S&P 500 TR +0.45%
1M
+0.22%
S&P 500 TR +2.72%
3M
-2.40%
S&P 500 TR +1.41%
6M
+6.89%
S&P 500 TR +12.32%
YTD
+17.16%
S&P 500 TR +13.14%
1Y
+24.80%
S&P 500 TR +20.38%
5Y
+82.20%
S&P 500 TR +82.47%
10Y
+290.09%
S&P 500 TR +316.17%
SINCE
+584.76%
S&P 500 TR +654.10%
from 2007-07-02
2007-07-02 to 2026-08-31 · 4822 sessions
Cumulative return vs S&P 500 TR
Performance stats
| Metric | Factor | S&P 500 TR |
|---|---|---|
Annualized return (1 + total) ^ (252/4822) − 1 | +10.58% | +11.14% |
Annualized volatility daily-return stdev × √252 | +21.46% | +19.85% |
Sharpe ratio ann return ÷ ann vol (rf = 0) | 0.49 | 0.56 |
Max drawdown worst peak-to-trough on the cumulative series | -54.14% | -55.25% |
Information ratio ann excess return ÷ tracking error (vs S&P 500 TR) | -0.02 | — |
Monthly hit rate share of months where factor return > S&P 500 TR | 52% (119/230) | — |
How it's computed
What. At each month-end *t*, the signal for ticker *i* is the total return from price[t − 252 trading days] to price[t − 21 trading days]. The 21-day skip is the canonical "12-1" convention — it excludes the most recent month to sidestep short-term reversal. We rank cross-sectionally on the as-of S&P 500, take the top quintile equal-weighted, and hold for one month.
Why it has worked. Jegadeesh & Titman (1993) documented that recent winners continue to outperform recent losers for 3–12 months. The most common explanation is behavioral: investors underreact to news and information diffuses slowly, so prices drift in the direction of fundamentals after the initial move.
Caveats. Momentum suffers sharp crashes during regime reversals — March 2009 is the canonical example. It is also more turnover-heavy than other factors, so transaction costs (not modeled here) bite harder.
Current sector mix
| Sector | Names | % of screen | |
|---|---|---|---|
| Information Technology | 29 | 29.0% | |
| Industrials | 24 | 24.0% | |
| Health Care | 11 | 11.0% | |
| Financials | 9 | 9.0% | |
| Energy | 9 | 9.0% | |
| Materials | 7 | 7.0% | |
| Consumer Discretionary | 6 | 6.0% | |
| Real Estate | 3 | 3.0% | |
| Utilities | 1 | 1.0% | |
| Consumer Staples | 1 | 1.0% |
Current top quintile (100 names)
| Ticker | Name | Sector | Signal ↓ | Z-score |
|---|---|---|---|---|
| BNY | Bank of New York Mellon Corp | Financials | 534.3% | 4.37 |
| SNDK | Sandisk Corp | Information Technology | 489.0% | 4.37 |
| MU | MICRON TECHNOLOGY INC | Information Technology | 258.4% | 4.37 |
| DELL | Dell Technologies Inc. | Information Technology | 249.2% | 4.37 |
| STX | Seagate Technology Holdings plc | Information Technology | 198.1% | 4.37 |
| WDC | WESTERN DIGITAL CORP | Information Technology | 168.4% | 4.37 |
| LITE | Lumentum Holdings Inc. | Information Technology | 155.9% | 4.01 |
| HPE | Hewlett Packard Enterprise Co | Information Technology | 153.1% | 3.92 |
| MRNA | Moderna, Inc. | Health Care | 147.6% | 3.76 |
| INTC | INTEL CORP | Information Technology | 143.7% | 3.65 |
| MRVL | Marvell Technology, Inc. | Information Technology | 129.3% | 3.24 |
| AMD | ADVANCED MICRO DEVICES INC | Information Technology | 113.7% | 2.78 |
| FLEX | FLEX LTD. | Information Technology | 111.7% | 2.73 |
| AMAT | APPLIED MATERIALS INC /DE | Information Technology | 105.5% | 2.55 |
| PANW | Palo Alto Networks Inc | Information Technology | 105.1% | 2.54 |
| TER | TERADYNE, INC | Industrials | 103.4% | 2.49 |
| FTNT | Fortinet, Inc. | Information Technology | 100.7% | 2.41 |
| COHR | COHERENT CORP. | Health Care | 98.9% | 2.36 |
| LRCX | LAM RESEARCH CORP | Industrials | 98.6% | 2.35 |
| CIEN | CIENA CORP | Information Technology | 93.0% | 2.18 |
| GLW | CORNING INC /NY | Materials | 90.9% | 2.13 |
| NTAP | NetApp, Inc. | Information Technology | 79.3% | 1.79 |
| CRWD | CrowdStrike Holdings, Inc. | Information Technology | 78.7% | 1.77 |
| VLO | VALERO ENERGY CORP/TX | Energy | 77.0% | 1.72 |
| CNC | CENTENE CORP | Health Care | 75.7% | 1.68 |
| FIX | COMFORT SYSTEMS USA INC | Industrials | 74.4% | 1.65 |
| Q | Qnity Electronics, Inc. | Information Technology | 73.4% | 1.62 |
| NUE | NUCOR CORP | Materials | 72.5% | 1.59 |
| GEV | GE Vernova Inc. | Industrials | 72.1% | 1.58 |
| FFIV | F5, INC. | Information Technology | 71.9% | 1.57 |
| KEYS | Keysight Technologies, Inc. | Industrials | 69.8% | 1.51 |
| TGT | TARGET CORP | Consumer Discretionary | 69.7% | 1.51 |
| TXN | TEXAS INSTRUMENTS INC | Information Technology | 69.6% | 1.51 |
| KLAC | KLA CORP | Health Care | 67.0% | 1.43 |
| APA | APA Corp | Energy | 66.1% | 1.41 |
| DDOG | Datadog, Inc. | Information Technology | 65.2% | 1.38 |
| FCX | FREEPORT-MCMORAN INC | Materials | 64.9% | 1.37 |
| MPC | Marathon Petroleum Corp | Energy | 64.8% | 1.37 |
| CSCO | CISCO SYSTEMS, INC. | Information Technology | 63.5% | 1.33 |
| STLD | STEEL DYNAMICS INC | Materials | 61.6% | 1.28 |
| GRMN | GARMIN LTD | Industrials | 61.1% | 1.26 |
| HUM | HUMANA INC | Health Care | 61.0% | 1.26 |
| STT | STATE STREET CORP | Financials | 60.9% | 1.26 |
| JBL | JABIL INC | Information Technology | 60.4% | 1.24 |
| ON | ON SEMICONDUCTOR CORP | Information Technology | 58.2% | 1.18 |
| CRL | CHARLES RIVER LABORATORIES INTERNATIONAL, INC. | Health Care | 57.3% | 1.15 |
| PSX | Phillips 66 | Energy | 56.6% | 1.13 |
| ABNB | Airbnb, Inc. | Industrials | 55.5% | 1.10 |
| VTRS | Viatris Inc | Health Care | 54.6% | 1.07 |
| BEN | FRANKLIN RESOURCES INC | Financials | 54.5% | 1.07 |
| DVA | DAVITA INC. | Health Care | 54.1% | 1.06 |
| MCHP | MICROCHIP TECHNOLOGY INC | Information Technology | 54.0% | 1.06 |
| CF | CF Industries Holdings, Inc. | Materials | 53.7% | 1.05 |
| TRGP | Targa Resources Corp. | Energy | 52.9% | 1.02 |
| ODFL | OLD DOMINION FREIGHT LINE, INC. | Industrials | 52.9% | 1.02 |
| VRT | Vertiv Holdings Co | Information Technology | 50.8% | 0.96 |
| IRM | IRON MOUNTAIN INC | Real Estate | 50.5% | 0.96 |
| CASY | CASEYS GENERAL STORES INC | Consumer Discretionary | 50.5% | 0.95 |
| ZBRA | ZEBRA TECHNOLOGIES CORP | Industrials | 50.5% | 0.95 |
| MPWR | MONOLITHIC POWER SYSTEMS, INC. | Information Technology | 49.5% | 0.93 |
| ANET | Arista Networks, Inc. | Information Technology | 49.5% | 0.93 |
| JBHT | HUNT J B TRANSPORT SERVICES INC | Industrials | 48.9% | 0.91 |
| SWK | STANLEY BLACK & DECKER, INC. | Industrials | 48.7% | 0.90 |
| CAT | CATERPILLAR INC | Industrials | 48.3% | 0.89 |
| TPR | TAPESTRY, INC. | Consumer Discretionary | 48.3% | 0.89 |
| SLB | SLB LIMITED/NV | Energy | 48.1% | 0.89 |
| PWR | QUANTA SERVICES, INC. | Industrials | 46.2% | 0.83 |
| NTRS | NORTHERN TRUST CORP | Financials | 45.8% | 0.82 |
| BAX | BAXTER INTERNATIONAL INC | Health Care | 45.7% | 0.82 |
| ADI | ANALOG DEVICES INC | Information Technology | 45.4% | 0.81 |
| CSX | CSX CORP | Industrials | 44.7% | 0.79 |
| ROST | ROSS STORES, INC. | Consumer Discretionary | 44.5% | 0.78 |
| EQIX | EQUINIX INC | Real Estate | 43.8% | 0.76 |
| IBKR | Interactive Brokers Group, Inc. | Financials | 43.0% | 0.74 |
| HWM | Howmet Aerospace Inc. | Materials | 43.0% | 0.74 |
| URI | UNITED RENTALS, INC. | Industrials | 41.9% | 0.71 |
| WAB | WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP | Industrials | 41.3% | 0.69 |
| LYV | Live Nation Entertainment, Inc. | Consumer Discretionary | 40.8% | 0.68 |
| OXY | OCCIDENTAL PETROLEUM CORP /DE/ | Energy | 40.6% | 0.67 |
| DAL | DELTA AIR LINES, INC. | Industrials | 40.2% | 0.66 |
| TDY | TELEDYNE TECHNOLOGIES INC | Industrials | 40.1% | 0.66 |
| GL | GLOBE LIFE INC. | Financials | 39.1% | 0.63 |
| LMT | LOCKHEED MARTIN CORP | Industrials | 39.0% | 0.62 |
| WSM | WILLIAMS SONOMA INC | Consumer Discretionary | 38.9% | 0.62 |
| XOM | EXXON MOBIL CORP | Energy | 38.9% | 0.62 |
| COP | CONOCOPHILLIPS | Energy | 38.4% | 0.60 |
| PFG | PRINCIPAL FINANCIAL GROUP INC | Financials | 38.4% | 0.60 |
| HST | HOST HOTELS & RESORTS, INC. | Real Estate | 38.2% | 0.60 |
| GWW | W.W. GRAINGER, INC. | Industrials | 38.1% | 0.60 |
| GNRC | GENERAC HOLDINGS INC. | Industrials | 38.1% | 0.60 |
| DXCM | DEXCOM INC | Health Care | 38.0% | 0.59 |
| PPL | PPL Corp | Utilities | 36.6% | 0.55 |
| BMY | BRISTOL MYERS SQUIBB CO | Health Care | 36.3% | 0.54 |
| SW | Smurfit Westrock plc | Materials | 36.2% | 0.54 |
| CFG | CITIZENS FINANCIAL GROUP INC/RI | Financials | 35.9% | 0.53 |
| CPAY | CORPAY, INC. | Financials | 35.3% | 0.52 |
| IEX | IDEX CORP /DE/ | Industrials | 35.0% | 0.51 |
| ADM | Archer-Daniels-Midland Co | Consumer Staples | 34.9% | 0.50 |
| RTX | RTX Corp | Industrials | 34.4% | 0.49 |
| AKAM | AKAMAI TECHNOLOGIES INC | Industrials | 34.1% | 0.48 |