Momentum

Classic 12–1 Momentum

The classic academic momentum signal: 12-month return, skipping the latest month.

Point-in-time S&P 500 · Top 10 equal weight · Monthly rebalance · Jul 2023 – Jul 2026

Requested start: 2023-07-14 · First tradable strategy date: 2023-07-17

Growth of $100

Strategy$368

S&P 500 (SPY proxy)$173

Audited endpoint comparison from the production screening artifact. The daily path is intentionally not reconstructed from summary data.

Source: screening-20260716-f3000f0 · code f3000f0

Performance Summary (Jul 2023 – Jul 2026)

+268%

Period Cumulative Return

+195 pts

vs. SPY benchmark proxy

1.35

Sharpe Ratio

-29%

Max Drawdown

54.8%

Annualized Return

34%

Average Rebalance Turnover

1.20%

Cumulative Modeled Cost Rate

+73.3%

SPY Proxy Period Return

Selection disclosure: this strategy was selected after screening 75 factors over this same period. Its published result is in-sample and should not be treated as an out-of-sample forecast.

How it's built

Measures each stock's return from roughly 12 months ago to one month ago, ranks the S&P 500, and holds the top 10. Skipping the latest month reduces exposure to very short-term reversal noise.

Signals used

mom_12m_1m

Why it works

Jegadeesh and Titman documented medium-term return continuation in 1993, and later research replicated the effect. Momentum is not a guarantee: crowded positioning and abrupt regime changes can produce deep momentum crashes.

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Re-running applies these settings to current platform data and code, so it may not exactly reproduce this archived artifact.

Past performance is not indicative of future results. Backtests are hypothetical. Results use point-in-time S&P 500 membership, a $5 million liquidity floor, and 5 basis points of modeled slippage per side. Commissions and taxes are set to $0. Bid-ask spread beyond the modeled slippage, market impact from large orders, and investor-specific taxes are not modeled. This is not investment advice. See our full disclaimer for details.