Momentum

Risk-Adjusted Momentum

Twelve-month winners, adjusted down when their realized volatility is high.

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$300

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)

+200%

Period Cumulative Return

+127 pts

vs. SPY benchmark proxy

1.21

Sharpe Ratio

-22%

Max Drawdown

44.6%

Annualized Return

41%

Average Rebalance Turnover

1.45%

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

Divides 12-month price return by annualized daily return volatility, then holds the top 10 S&P 500 stocks. The adjustment favors steadier winners over names whose return came with unusually large swings.

Signals used

mom_vol_adj_12m

Why it works

Scaling momentum by volatility can separate persistent strength from highly unstable moves. It still remains a momentum strategy, so it can lose when prior winners reverse together.

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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.