Momentum

12-month total return, skipping the most recent month (12-1).

As of 2026-06-10 · 100 names held · backtest spans 230 months

Trailing returns

-2.48%

SPY -4.49%

-11.35%

SPY -4.36%

-16.41%

SPY -4.36%

-11.78%

SPY -4.30%

YTD

-9.60%

SPY -3.79%

+2.00%

SPY +9.73%

+35.14%

SPY +65.09%

10Y

+213.85%

SPY +266.59%

20Y

—

SPY —

Cumulative return vs SPY

Performance stats

Metric	Factor	SPY
Annualized return (1 + total) ^ (252/4807) − 1	+12.00%	+10.35%
Annualized volatility daily-return stdev × √252	+21.20%	+19.69%
Sharpe ratio ann return ÷ ann vol (rf = 0)	0.57	0.53
Max drawdown worst peak-to-trough on the cumulative series	-51.50%	—
Information ratio ann excess return ÷ tracking error (vs SPY)	0.20	—
Monthly hit rate share of months where factor return > SPY	56% (129/230)	—

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
Industrials	27	27.0%
Information Technology	20	20.0%
Health Care	15	15.0%
Energy	8	8.0%
Consumer Staples	8	8.0%
Materials	7	7.0%
Consumer Discretionary	7	7.0%
Communication Services	4	4.0%
Utilities	3	3.0%
Real Estate	1	1.0%

Current top quintile (100 names)

Ticker	Name	Sector	Signal ↓	Z-score
SNDK	Sandisk	Information Technology	781.9%	4.77
LITE	Lumentum	Information Technology	325.1%	4.77
MU	Micron Technology	Information Technology	197.1%	4.77
WDC	Western Digital	Information Technology	194.6%	4.77
TER	Teradyne	Information Technology	182.7%	4.77
CIEN	Ciena	Information Technology	162.7%	4.77
ALB	Albemarle Corporation	Materials	154.4%	4.50
COHR	Coherent Corp.	Information Technology	150.2%	4.37
AMAT	Applied Materials	Information Technology	130.6%	3.75
WBD	Warner Bros. Discovery	Communication Services	129.7%	3.72
LRCX	Lam Research	Information Technology	123.5%	3.53
STX	Seagate Technology	Information Technology	113.4%	3.21
MRNA	Moderna	Health Care	112.7%	3.18
GLW	Corning Inc.	Information Technology	101.3%	2.82
FIX	Comfort Systems USA	Industrials	91.3%	2.51
VRT	Vertiv	Industrials	86.5%	2.36
INTC	Intel	Information Technology	83.5%	2.26
KEYS	Keysight Technologies	Information Technology	79.8%	2.14
CAT	Caterpillar Inc.	Industrials	79.0%	2.12
FDX	FedEx	Industrials	72.7%	1.92
JBHT	J.B. Hunt	Industrials	67.4%	1.75
LUV	Southwest Airlines	Industrials	64.4%	1.66
TPL	Texas Pacific Land Corporation	Energy	64.1%	1.65
KLAC	KLA Corporation	Information Technology	63.9%	1.64
HII	Huntington Ingalls Industries	Industrials	63.6%	1.63
NEM	Newmont	Materials	63.0%	1.61
HAL	Halliburton	Energy	59.0%	1.49
DD	DuPont	Materials	58.9%	1.48
FCX	Freeport-McMoRan	Materials	53.3%	1.30
CAH	Cardinal Health	Health Care	53.0%	1.30
TPR	Tapestry, Inc.	Consumer Discretionary	52.9%	1.29
VTRS	Viatris	Health Care	50.7%	1.22
BG	Bunge Global	Consumer Staples	46.9%	1.10
STLD	Steel Dynamics	Materials	46.5%	1.09
CMI	Cummins	Industrials	46.2%	1.08
DG	Dollar General	Consumer Staples	46.1%	1.08
PWR	Quanta Services	Industrials	44.9%	1.04
CHRW	C.H. Robinson	Industrials	44.8%	1.04
SATS	EchoStar	Communication Services	44.6%	1.03
MRK	Merck & Co.	Health Care	44.6%	1.03
ADI	Analog Devices	Information Technology	44.4%	1.02
SLB	Schlumberger	Energy	44.4%	1.02
UPS	United Parcel Service	Industrials	43.5%	0.99
TRGP	Targa Resources	Energy	43.1%	0.98
ALGN	Align Technology	Health Care	42.3%	0.96
HWM	Howmet Aerospace	Industrials	41.8%	0.94
ON	ON Semiconductor	Information Technology	41.6%	0.94
GM	General Motors	Consumer Discretionary	41.2%	0.92
JNJ	Johnson & Johnson	Health Care	40.1%	0.89
BKR	Baker Hughes	Energy	39.5%	0.87
LMT	Lockheed Martin	Industrials	39.4%	0.86
WAB	Wabtec	Industrials	39.3%	0.86
REGN	Regeneron Pharmaceuticals	Health Care	39.0%	0.85
MPWR	Monolithic Power Systems	Information Technology	38.5%	0.84
AMGN	Amgen	Health Care	38.1%	0.82
MCK	McKesson Corporation	Health Care	38.1%	0.82
MNST	Monster Beverage	Consumer Staples	37.9%	0.82
EIX	Edison International	Utilities	37.9%	0.82
CNC	Centene Corporation	Health Care	37.3%	0.80
ROST	Ross Stores	Consumer Discretionary	36.7%	0.78
GEV	GE Vernova	Industrials	36.3%	0.77
LLY	Lilly (Eli)	Health Care	35.9%	0.75
ODFL	Old Dominion	Industrials	35.9%	0.75
ULTA	Ulta Beauty	Consumer Discretionary	35.0%	0.72
MAR	Marriott International	Consumer Discretionary	34.2%	0.70
XOM	ExxonMobil	Energy	34.1%	0.70
JCI	Johnson Controls	Industrials	34.0%	0.69
HCA	HCA Healthcare	Health Care	33.8%	0.69
AAPL	Apple Inc.	Information Technology	33.7%	0.68
BALL	Ball Corporation	Materials	33.6%	0.68
CSX	CSX Corporation	Industrials	33.6%	0.68
PH	Parker Hannifin	Industrials	33.2%	0.67
BMY	Bristol Myers Squibb	Health Care	32.9%	0.66
DE	Deere & Company	Industrials	32.3%	0.64
IEX	IDEX Corporation	Industrials	31.9%	0.63
BIIB	Biogen	Health Care	31.8%	0.63
NDSN	Nordson Corporation	Industrials	31.7%	0.62
HAS	Hasbro	Consumer Discretionary	31.3%	0.61
WMT	Walmart	Consumer Staples	31.1%	0.60
GILD	Gilead Sciences	Health Care	31.0%	0.60
AES	AES Corporation	Utilities	30.8%	0.59
PLD	Prologis	Real Estate	30.7%	0.59
NEE	NextEra Energy	Utilities	30.4%	0.58
VLO	Valero Energy	Energy	30.2%	0.57
AKAM	Akamai Technologies	Information Technology	30.2%	0.57
DOV	Dover Corporation	Industrials	29.7%	0.56
WMB	Williams Companies	Energy	29.4%	0.55
LHX	L3Harris	Industrials	29.4%	0.55
TGT	Target Corporation	Consumer Staples	29.3%	0.55
F	Ford Motor Company	Consumer Discretionary	29.0%	0.54
GOOGL	Alphabet Inc. (Class A)	Communication Services	28.6%	0.52
EL	Estée Lauder Companies (The)	Consumer Staples	28.5%	0.52
AMCR	Amcor	Materials	28.5%	0.52
RTX	RTX Corporation	Industrials	28.4%	0.52
DLTR	Dollar Tree	Consumer Staples	28.4%	0.52
GOOG	Alphabet Inc. (Class C)	Communication Services	28.3%	0.51
PCAR	Paccar	Industrials	28.1%	0.51
AME	Ametek	Industrials	28.1%	0.51
AMD	Advanced Micro Devices	Information Technology	27.7%	0.49
CASY	Casey's	Consumer Staples	27.6%	0.49