Classic 12-Minus-1 Momentum
12-month return skipping the last month — the academic gold standard.
Growth of $100
Performance Summary (2023–2026)
How it's built
Buys the S&P 500 stocks with the highest return over the past 12 months, excluding the most recent month. This is the Jegadeesh & Titman (1993) momentum factor — one of the most replicated effects in academic finance, confirmed by Fama-French (1996), Asness, and dozens of others.
mom_12m_1mWhy it works
Skipping the most-recent month avoids 1-month reversal noise; the 12-1 window captures sustained outperformance. Investors are slow to update their priors on company quality, so winners stay winners over medium horizons. Has historically beaten S&P 500 over long stretches but suffers severely in momentum crashes (e.g. 2009 Q1, 2022 H1).
Ready to customize this strategy?
Fork it into your AI chat. Adjust signals, filters, and universe in plain English — no code.
Past performance is not indicative of future results. Backtests are simulated and do not account for transaction costs, slippage, taxes, or the impact of large orders on market prices. All figures shown are hypothetical. This is not investment advice. See our full disclaimer for details.