Strategy/Momentum
Momentum
Top-decile 12-1 momentum — monthly rebalance
Track record →as of 2026-09-30
CAGR
23%
Sharpe
1.22
Alpha (t-stat)
6.9% (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
50 names · equal 2%
rebalanced monthly
This rebalance
15 new buys · 35 holds
15 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 (15)
| Ticker | Sector | Mom 12-1 | Note |
|---|---|---|---|
| COHR | Information Technology | +158% | target 2% |
| FCX | Materials | +95% | target 2% |
| CRL | Health Care | +84% | target 2% |
| SLB | Energy | +77% | target 2% |
| ALB | Materials | +68% | target 2% |
| EXPD | Industrials | +56% | target 2% |
| AMGN | Health Care | +56% | target 2% |
| BMY | Health Care | +54% | target 2% |
| BEN | Financials | +52% | target 2% |
| HAL | Energy | +51% | target 2% |
| ABNB | Consumer Discretionary | +51% | target 2% |
| NEM | Materials | +50% | target 2% |
| EXPE | Consumer Discretionary | +49% | target 2% |
| HUM | Health Care | +49% | target 2% |
| CF | Materials | +47% | target 2% |
Sell (15)
| Ticker | Sector | Prev mom | Note |
|---|---|---|---|
| AMAT | Information Technology | +217% | fell out of top decile |
| CASY | Consumer Staples | +77% | fell out of top decile |
| CMI | Industrials | +61% | fell out of top decile |
| CSX | Industrials | +57% | fell out of top decile |
| DVA | Health Care | +74% | fell out of top decile |
| GEV | Industrials | +62% | fell out of top decile |
| GM | Consumer Discretionary | +53% | fell out of top decile |
| GOOG | Communication Services | +68% | fell out of top decile |
| GOOGL | Communication Services | +68% | fell out of top decile |
| HST | Real Estate | +52% | fell out of top decile |
| HWM | Industrials | +62% | fell out of top decile |
| PWR | Industrials | +77% | fell out of top decile |
| TPR | Consumer Discretionary | +52% | fell out of top decile |
| WAB | Industrials | +51% | fell out of top decile |
| WBD | Communication Services | +126% | 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
Health Care
22% · 11
Materials
14% · 7
Energy
14% · 7
Industrials
12% · 6
Financials
6% · 3
Consumer Discretionary
6% · 3
Consumer Staples
2% · 1