Monthly Momentum

Overview

Current Portfolio

vs 13F

Methodology

Portfolio performance

+309.7%

Since Aug 2020 · vs SPY +107.9%

All

Monthly Momentum

SPY (Buy & Hold)

About this strategy

Monthly Momentum is a systematic equity strategy that combines institutional conviction signals from quarterly 13F filings with monthly price momentum rebalancing.

Unlike the 13F Conviction strategy which holds for 6–9 months, this portfolio rebalances every 30 days — exiting positions that lose momentum and rotating into stronger ones within the same high-quality universe.

Backtest period: Aug 2020 – Dec 2025. Universe size: top-50 conviction stocks from hedge fund 13F filings (quarterly). Monthly picks: best 8 by 6-month price momentum.

Key statistics

Walk-forward validation

Out-of-sample validation: trained on first half (2020–2023), validated on second half (2023–2025). A strategy with consistent parameters should show positive alpha in both periods.

Current holdings

Rebalances monthly

8 positions, equal weight (~12.5% each). Selected from top-50 conviction stocks with strongest 6-month price momentum. Next rebalance: Jun 1, 2026.

Stock	6M Momentum	Momentum bar	Price

Best performers (historical avg monthly return)

Ticker	Avg return/month	Appearances

Head-to-head comparison

Comparing Monthly Momentum vs the 13F Conviction benchmark over the same backtest period. Green = winner per metric.

Update frequency

Monthly rebalancing gives the strategy significantly more agility — it can exit losers before the next quarterly filing cycle and rotate into momentum leaders earlier.

Monthly Momentum

12× / year

Rebalances monthly

13F Conviction

4× / year

Filing-driven, ~45d lag

Risk-adjusted view

Monthly Momentum achieves a meaningfully lower max drawdown (36.3% vs 63.8%). While CAGR is lower, the Calmar ratio and Sortino suggest better downside management — especially in bear markets where the monthly exit provides a natural stop.

Monthly Momentum

13F Conviction

SPY

Signal pipeline

13F Universe Construction (Quarterly)
Each quarter after 13F filings are published (+45 days lag), compute a conviction score for all stocks held by tracked hedge funds. Score is based on: fund breadth (35%), accumulation vs selling pressure (30%), portfolio weight (20%), new money flow (15%). Take top 50 by score.

Monthly Momentum Ranking
On the 1st of each month, compute 6-month price return for each stock in the universe (skipping the most recent month to avoid short-term reversal). Rank all stocks by this momentum score.

Portfolio Construction
Hold the top 8 momentum stocks from the universe. Equal weight (12.5% each). S&P 500 membership filter applied (point-in-time, no survivorship bias).

Monthly Rebalance
At each rebalance, sell positions that dropped out of the top 8, buy new entrants. No transaction cost adjustment (assume low-fee broker). Full rebalance takes ~8 trades per month.

Optimized parameters

Grid search

72 parameter combinations were tested across universe size (20/30/50), top-N holdings (8/12/15), momentum lookback (3/6 months), MA200 filter (on/off), and minimum conviction score (40/50). Best combination selected by Sharpe ratio with minimum 50 trades.

Overfitting note: Walk-forward train period (2020–2023) shows lower alpha (+0.6%) than the test period (2023–2025, +40%). This is partially explained by the 2022 bear market affecting momentum strategies broadly, and by the AI-driven bull market of 2023–2025 strongly rewarding momentum.