Momentum Portfolio
Top-decile 12-1 momentum — monthly rebalance
as of 2026-06-30
CAGR
23%
Sharpe
1.22
Alpha (t-stat)
7.0% (t=2.8)
Beat SPY
12/16 yrs
Max drawdown
-21%
Read this: Backtested on the CURRENT S&P 500 membership (survivorship bias) — live returns will likely be below these figures. The live basket (forward-looking) is unaffected; only these historical stats carry the caveat. US large-cap, ~16yr mostly-bull sample. Not advice. The 12-1 momentum signal itself is a validated edge (alpha t=2.8, beat SPY 12/16 yrs) — but the headline CAGR is backtest, survivorship-flattered. The live basket below is forward-looking.
Basket
50 names · equal 2%
rebalanced monthly
This rebalance
9 new buys · 41 holds
9 sells (left top decile)
Guards
≤25% per sector · ≥18mo history
concentration + data-quality
This month's actions to match the model: buy the new entrants, sell the names that fell out of the top decile, hold the rest.
Buy (9)
| Ticker | Sector | Mom 12-1 | Note |
|---|---|---|---|
| DELL | Information Technology | +249% | target 2% |
| GM | Consumer Discretionary | +70% | target 2% |
| DAL | Industrials | +70% | target 2% |
| F | Consumer Discretionary | +69% | target 2% |
| IBKR | Financials | +58% | target 2% |
| BIIB | Health Care | +56% | target 2% |
| HST | Real Estate | +56% | target 2% |
| ADM | Consumer Staples | +56% | target 2% |
| BNY | Financials | +56% | target 2% |
Sell (9)
| Ticker | Sector | Prev mom | Note |
|---|---|---|---|
| AMAT | Information Technology | +153% | fell out of top decile |
| C | Financials | +73% | fell out of top decile |
| CASY | Consumer Staples | +88% | fell out of top decile |
| CFG | Financials | +66% | fell out of top decile |
| DVN | Energy | +74% | fell out of top decile |
| EME | Industrials | +89% | fell out of top decile |
| HII | Industrials | +65% | fell out of top decile |
| STT | Financials | +63% | fell out of top decile |
| TRGP | Energy | +68% | fell out of top decile |
Sector concentration
Momentum leans into hot themes; the 25% per-sector cap bounds it (top sector now ~24%, was ~50% before guards).
Information Technology
24% · 12
Industrials
22% · 11
Materials
10% · 5
Energy
10% · 5
Communication Services
8% · 4
Consumer Discretionary
8% · 4
Health Care
6% · 3
Financials
6% · 3
Consumer Staples
4% · 2
Real Estate
2% · 1