Strategy/Momentum
Momentum
Top-decile 12-1 momentum — monthly rebalance
Track record →as of 2026-11-30
CAGR
23%
Sharpe
1.20
Alpha (t-stat)
6.7% (t=2.6)
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=2.6, beat SPY 12/16 yrs) — but the headline CAGR is backtest, survivorship-flattered. The live basket below is forward-looking.
Basket
49 names · equal 2%
rebalanced monthly
This rebalance
18 new buys · 31 holds
18 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 (18)
| Ticker | Sector | Mom 12-1 | Note |
|---|---|---|---|
| PANW | Information Technology | +92% | target 2% |
| TXN | Information Technology | +81% | target 2% |
| NTAP | Information Technology | +80% | target 2% |
| HUM | Health Care | +70% | target 2% |
| FTNT | Information Technology | +68% | target 2% |
| CVX | Energy | +59% | target 2% |
| CF | Materials | +58% | target 2% |
| EOG | Energy | +56% | target 2% |
| OXY | Energy | +55% | target 2% |
| SLB | Energy | +51% | target 2% |
| SWK | Industrials | +50% | target 2% |
| WST | Health Care | +49% | target 2% |
| DOW | Materials | +49% | target 2% |
| CSX | Industrials | +48% | target 2% |
| EBAY | Consumer Discretionary | +48% | target 2% |
| LYB | Materials | +47% | target 2% |
| HAS | Consumer Discretionary | +46% | target 2% |
| URI | Industrials | +44% | target 2% |
Sell (18)
| Ticker | Sector | Prev mom | Note |
|---|---|---|---|
| AMAT | Information Technology | +120% | fell out of top decile |
| AMGN | Health Care | +44% | fell out of top decile |
| BIIB | Health Care | +46% | fell out of top decile |
| COHR | Information Technology | +118% | fell out of top decile |
| CPAY | Financials | +49% | fell out of top decile |
| DAL | Industrials | +46% | fell out of top decile |
| DVN | Energy | +44% | fell out of top decile |
| DXCM | Health Care | +48% | fell out of top decile |
| EXPD | Industrials | +53% | fell out of top decile |
| FIX | Industrials | +72% | fell out of top decile |
| GEV | Industrials | +63% | fell out of top decile |
| INTC | Information Technology | +201% | fell out of top decile |
| JNJ | Health Care | +43% | fell out of top decile |
| NDSN | Industrials | +43% | fell out of top decile |
| NEM | Materials | +43% | fell out of top decile |
| PWR | Industrials | +43% | fell out of top decile |
| ROST | Consumer Discretionary | +48% | fell out of top decile |
| TER | Information Technology | +121% | 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
Energy
22% · 11
Health Care
18% · 9
Materials
14% · 7
Industrials
8% · 4
Consumer Discretionary
4% · 2
Financials
4% · 2
Consumer Staples
2% · 1
Real Estate
2% · 1