Momentum

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

As of 2026-06-02 · 100 names held · backtest spans 230 months

Trailing returns

-2.18%

SPY +0.14%

-11.70%

SPY +0.14%

-15.25%

SPY +0.14%

-6.84%

SPY +1.09%

YTD

-7.30%

SPY +0.73%

+3.91%

SPY +16.90%

+36.68%

SPY +75.15%

10Y

+222.78%

SPY +283.46%

20Y

—

SPY —

Cumulative return vs SPY

Performance stats

Metric	Factor	SPY
Annualized return (1 + total) ^ (252/4802) − 1	+12.16%	+10.63%
Annualized volatility daily-return stdev × √252	+21.20%	+19.69%
Sharpe ratio ann return ÷ ann vol (rf = 0)	0.57	0.54
Max drawdown worst peak-to-trough on the cumulative series	-51.50%	—
Information ratio ann excess return ÷ tracking error (vs SPY)	0.18	—
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	21	21.0%
Health Care	16	16.0%
Energy	8	8.0%
Materials	7	7.0%
Consumer Discretionary	6	6.0%
Consumer Staples	5	5.0%
Communication Services	4	4.0%
Utilities	2	2.0%
Real Estate	2	2.0%
Financials	2	2.0%

Current top quintile (100 names)

Ticker	Name	Sector	Signal ↓	Z-score
SNDK	Sandisk	Information Technology	1176.5%	5.23
LITE	Lumentum	Information Technology	428.8%	5.23
CIEN	Ciena	Information Technology	264.5%	5.23
MU	Micron Technology	Information Technology	251.1%	5.23
WDC	Western Digital	Information Technology	242.1%	5.23
COHR	Coherent Corp.	Information Technology	194.9%	5.23
TER	Teradyne	Information Technology	176.4%	4.70
WBD	Warner Bros. Discovery	Communication Services	147.8%	3.88
LRCX	Lam Research	Information Technology	147.3%	3.86
STX	Seagate Technology	Information Technology	141.7%	3.70
AMAT	Applied Materials	Information Technology	139.2%	3.63
ALB	Albemarle Corporation	Materials	134.5%	3.49
GLW	Corning Inc.	Information Technology	120.3%	3.08
MRNA	Moderna	Health Care	113.8%	2.90
FIX	Comfort Systems USA	Industrials	106.0%	2.68
VRT	Vertiv	Industrials	105.7%	2.67
INTC	Intel	Information Technology	87.8%	2.15
KEYS	Keysight Technologies	Information Technology	86.8%	2.13
CAT	Caterpillar Inc.	Industrials	81.9%	1.98
KLAC	KLA Corporation	Information Technology	80.6%	1.95
SATS	EchoStar	Communication Services	77.1%	1.85
FDX	FedEx	Industrials	74.9%	1.78
NEM	Newmont	Materials	69.1%	1.62
HII	Huntington Ingalls Industries	Industrials	65.0%	1.50
TPL	Texas Pacific Land Corporation	Energy	63.3%	1.45
DD	DuPont	Materials	59.6%	1.34
HAL	Halliburton	Energy	59.6%	1.34
LUV	Southwest Airlines	Industrials	59.5%	1.34
JBHT	J.B. Hunt	Industrials	58.9%	1.32
TPR	Tapestry, Inc.	Consumer Discretionary	57.3%	1.28
FCX	Freeport-McMoRan	Materials	53.1%	1.16
CAH	Cardinal Health	Health Care	52.8%	1.15
GEV	GE Vernova	Industrials	51.4%	1.11
PWR	Quanta Services	Industrials	50.9%	1.09
STLD	Steel Dynamics	Materials	50.7%	1.09
HWM	Howmet Aerospace	Industrials	50.5%	1.08
CMI	Cummins	Industrials	49.9%	1.07
BG	Bunge Global	Consumer Staples	48.6%	1.03
SLB	Schlumberger	Energy	46.6%	0.97
VTRS	Viatris	Health Care	46.1%	0.96
GOOGL	Alphabet Inc. (Class A)	Communication Services	45.7%	0.94
GOOG	Alphabet Inc. (Class C)	Communication Services	45.1%	0.93
CNC	Centene Corporation	Health Care	44.9%	0.92
BKR	Baker Hughes	Energy	44.3%	0.90
CHRW	C.H. Robinson	Industrials	44.1%	0.90
ADI	Analog Devices	Information Technology	43.8%	0.89
MPWR	Monolithic Power Systems	Information Technology	43.8%	0.89
LMT	Lockheed Martin	Industrials	42.9%	0.86
MRK	Merck & Co.	Health Care	42.1%	0.84
UPS	United Parcel Service	Industrials	41.2%	0.81
MCK	McKesson Corporation	Health Care	41.0%	0.81
DG	Dollar General	Consumer Staples	40.9%	0.81
TRGP	Targa Resources	Energy	40.3%	0.79
LLY	Lilly (Eli)	Health Care	39.5%	0.77
ON	ON Semiconductor	Information Technology	39.3%	0.76
GM	General Motors	Consumer Discretionary	38.7%	0.74
JNJ	Johnson & Johnson	Health Care	38.3%	0.73
MNST	Monster Beverage	Consumer Staples	38.3%	0.73
CASY	Casey's	Consumer Staples	38.0%	0.72
ALGN	Align Technology	Health Care	37.9%	0.72
EIX	Edison International	Utilities	37.3%	0.70
WAB	Wabtec	Industrials	37.1%	0.70
APH	Amphenol	Information Technology	36.4%	0.68
JCI	Johnson Controls	Industrials	36.3%	0.68
AMCR	Amcor	Materials	35.9%	0.66
PH	Parker Hannifin	Industrials	35.9%	0.66
ROST	Ross Stores	Consumer Discretionary	35.2%	0.64
BIIB	Biogen	Health Care	34.7%	0.63
JBL	Jabil	Information Technology	34.7%	0.63
AMGN	Amgen	Health Care	34.1%	0.61
WMT	Walmart	Consumer Staples	34.0%	0.61
GILD	Gilead Sciences	Health Care	33.9%	0.61
VLO	Valero Energy	Energy	33.7%	0.60
REGN	Regeneron Pharmaceuticals	Health Care	33.7%	0.60
MAR	Marriott International	Consumer Discretionary	33.1%	0.58
CSX	CSX Corporation	Industrials	33.0%	0.58
ODFL	Old Dominion	Industrials	32.8%	0.58
WMB	Williams Companies	Energy	32.5%	0.57
NDSN	Nordson Corporation	Industrials	32.3%	0.56
BMY	Bristol Myers Squibb	Health Care	32.2%	0.56
XOM	ExxonMobil	Energy	31.5%	0.54
BALL	Ball Corporation	Materials	31.0%	0.52
DE	Deere & Company	Industrials	30.8%	0.52
ULTA	Ulta Beauty	Consumer Discretionary	30.6%	0.51
GNRC	Generac	Industrials	30.5%	0.51
PLD	Prologis	Real Estate	30.3%	0.50
IEX	IDEX Corporation	Industrials	30.3%	0.50
LHX	L3Harris	Industrials	30.2%	0.50
HCA	HCA Healthcare	Health Care	29.9%	0.49
AME	Ametek	Industrials	29.9%	0.49
AKAM	Akamai Technologies	Information Technology	29.8%	0.49
DOV	Dover Corporation	Industrials	29.6%	0.48
VTR	Ventas	Real Estate	28.9%	0.46
AAPL	Apple Inc.	Information Technology	28.7%	0.46
COO	Cooper Companies (The)	Health Care	28.6%	0.45
HAS	Hasbro	Consumer Discretionary	27.9%	0.43
PCAR	Paccar	Industrials	27.9%	0.43
GS	Goldman Sachs	Financials	27.7%	0.43
NEE	NextEra Energy	Utilities	27.5%	0.42
IVZ	Invesco	Financials	27.3%	0.42