| Stock | Weight | 6M Momentum | Signal | Return since entry |
|---|---|---|---|---|
LRCX Lam Research |
10% |
+79.2% | ADD | +12.4% |
GOOGL Alphabet Inc |
10% |
+78.4% | HOLD | +8.1% |
GM General Motors |
10% |
+68.1% | ADD | +5.3% |
AMD Advanced Micro Devices |
10% |
+51.8% | HOLD | +3.7% |
CAT Caterpillar Inc |
10% |
+49.7% | HOLD | +6.8% |
Momentum 20 follows a systematic 6-month price momentum factor across a universe of 120 liquid S&P 500 large-caps. Each month, stocks are ranked by their trailing 6-month return, and the top-10 highest-momentum names are held in an equal-weight portfolio.
The strategy exploits the well-documented momentum anomaly — the tendency for recent winners to continue outperforming over the next 3–12 months. The optimal parameters (6-month lookback, top-10 portfolio size, monthly rebalance) were discovered via a grid search over 30 parameter combinations backtested from 2015 to 2025.
| # | Stock | Sector | Weight | 6M Momentum | Since entry |
|---|---|---|---|---|---|
| 1 | LRCX Lam Research | Semiconductors | 10% | +79.2% | +12.4% |
| 2 | GOOGL Alphabet Inc | Tech / AI | 10% | +78.4% | +8.1% |
| 3 | GM General Motors | Automotive | 10% | +68.1% | +5.3% |
| 4 | INTC Intel Corp | Semiconductors | 10% | +66.5% | +2.1% |
| 5 | AMD Advanced Micro Devices | Semiconductors | 10% | +51.8% | +3.7% |
| 6 | CAT Caterpillar Inc | Industrials | 10% | +49.7% | +6.8% |
| 7 | REGN Regeneron Pharma | Biotech | 10% | +47.8% | +4.2% |
| 8 | IQV IQVIA Holdings | Healthcare Services | 10% | +44.5% | +1.8% |
| 9 | TMO Thermo Fisher Scientific | Life Sciences | 10% | +44.1% | +2.9% |
| 10 | TSLA Tesla Inc | EV / Energy | 10% | +43.1% | +0.4% |
Momentum 20 is a systematic monthly-rebalancing strategy based on the 6-month price momentum factor — one of the most robust and academically documented anomalies in equity markets. The strategy does not use earnings, fundamentals, or analyst estimates; it relies solely on price action.
The optimal parameters were selected through a grid search over 30 combinations (lookback: 6/9/12m; top-n: 10/15/20/25/30; skip: 0/1 month) backtested on 120 liquid S&P 500 stocks from January 2015 to December 2025.
| Lookback | Top N | CAGR | Sharpe | Max DD | Alpha |
|---|---|---|---|---|---|
| 6m | 10 ✓ | +33.1% | 1.55 | −17.2% | +19.1% |
| 6m | 15 | +28.3% | 1.47 | −16.3% | +14.4% |
| 6m | 20 | +25.5% | 1.42 | −16.1% | +11.6% |
| 12m | 10 | +28.8% | 1.32 | −21.3% | +13.2% |
| 9m | 20 | +22.7% | 1.29 | −18.2% | +8.4% |
| Year | Strategy | SPY | Alpha | Cumulative |
|---|---|---|---|---|
| 2015 | −0.6% | +1.4% | −2.0% | −1% |
| 2016 | +48.0% | +12.0% | +36.0% | +47% |
| 2017 | +24.5% | +21.8% | +2.7% | +83% |
| 2018 | +19.3% | −4.4% | +23.7% | +118% |
| 2019 | +35.7% | +31.5% | +4.2% | +196% |
| 2020 | +94.3% | +18.4% | +75.9% | +476% |
| 2021 | +64.2% | +28.7% | +35.5% | +845% |
| 2022 | +8.2% | −18.2% | +26.4% | +923% |
| 2023 | +26.8% | +26.3% | +0.5% | +1,196% |
| 2024 | +27.5% | +23.3% | +4.2% | +1,552% |
| 2025 | +18.3% | +8.0% | +10.3% | +1,858% |