Momentum Blend
Half smooth-trend momentum stocks (Core), half breakout growth leaders (up to 10), rebuilt monthly from the S&P 1500.
LiveS&P 1500 (current members)Up to ~25 holdingsMonthly (last trading day)
Backtest basis. Prices only: the backtest uses the full rules (no fundamentals in this model).
Return over
+0.3%
SPY +0.4%
1D
+0.3%
holdings
1W
-2.6%
holdings
1M
+3.1%
holdings
3M
+35.0%
holdings
YTD
+133.5%
holdings
1Y
+133.2%
holdings
Incep.
+0.3%
live
Current holdings at today's weights over each period (hypothetical); Incep. is the live tracked record.
How it works
What it owns
Core (50%): S&P 1500 stocks in steady 12-month uptrends, ranked on a blend of 12-1 and 6-1 momentum per unit of volatility plus trend smoothness, sized by inverse volatility. Leaders (50%): up to 10 stocks in the top 20% on 3- and 6-month relative strength, within 25% of their high, above the 50-day average, with more up-volume than down-volume and an 8%+ gap that has held.
How it was chosen
Every single change to the baseline Core+Leaders rules was tested on 2016-2021 only; the changes that beat the baseline in that window were combined. 2022-2026 was not used to pick anything.
Risk controls
No name above 15%, no sector above 45%, positions under 3% dropped. Leaders carry a stop just under the gap-day low.
What the backtest leaves out
Price/volume only: the backtest does not apply a value tilt or a revenue-growth filter, because point-in-time fundamentals were not used for this model.
Current holdings
Signal date 2026-09-30 · next rebalance Fri Oct 30, 2026 · live tracked portfolio →
CORT Corcept Therapeutics
5.4%
Leaders · stop $103.70
Health Care · last $115.23 · stock page →
DRH DiamondRock Hospitality Company
5.4%
Core
Real Estate · last $12.36 · stock page →
DELL Dell Technologies
5.4%
Leaders · stop $397.59
Information Technology · last $537.95 · stock page →
HZO MarineMax, Inc.
5.4%
Leaders · stop $51.35
Consumer Discretionary · last $52.30 · stock page →
FTNT Fortinet
5.4%
Leaders · stop $103.46
Information Technology · last $178.76 · stock page →
ZBRA Zebra Technologies
5.4%
Leaders · stop $326.18
Information Technology · last $373.31 · stock page →
PAYC Paycom
5.4%
Leaders · stop $205.58
Industrials · last $217.65 · stock page →
NEO NeoGenomics Laboratories, Inc.
5.4%
Leaders · stop $14.56
Health Care · last $18.36 · stock page →
MRNA Moderna
5.4%
Leaders · stop $113.32
Health Care · last $192.57 · stock page →
OKTAOKTA Okta, Inc.
5.4%
Leaders · stop $105.44
Information Technology · last $209.11 · stock page →
OGN Organon & Co.
5.4%
Leaders · stop $12.98
Health Care · last $13.70 · stock page →
MSGS Madison Square Garden Sports Corp.
4.7%
Core
Communication Services · last $405.21 · stock page →
TGTTGT Target Corporation
4.6%
Core
Consumer Staples · last $156.69 · stock page →
UFCSUFCS United Fire Group, Inc.
4.5%
Core
Financials · last $52.59 · stock page →
NHC National Healthcare, Corp.
4.3%
Core
Health Care · last $219.51 · stock page →
MATX Matson, Inc.
3.9%
Core
Industrials · last $219.64 · stock page →
ECPG Encore Capital Group, Inc.
3.9%
Core
Financials · last $94.44 · stock page →
VLO Valero Energy
3.8%
Core
Energy · last $387.61 · stock page →
AAMI Acadian Asset Management Inc.
3.8%
Core
Financials · last $91.71 · stock page →
INSW International Seaways, Inc.
3.6%
Core
Energy · last $110.14 · stock page →
DGII Digi International Inc.
3.5%
Core
Information Technology · last $76.23 · stock page →
On the bubble Preview
From prices through 2026-10-16 · next rebalance Fri Oct 30
8 likely to enter7 at risk of leaving
AMN Amn Healthcare Services, Inc.
Likely to enterANFANF Abercrombie & Fitch
Likely to enter
CON Concentra Group Holdings Parent, Inc.
Likely to enter
GO Grocery Outlet
Likely to enter
HAE Haemonetics
Likely to enter
MPC Marathon Petroleum
Likely to enter
PCRX Pacira BioSciences, Inc.
Likely to enter
PSX Phillips 66
Likely to enterCORT Held
At risk of leavingDELL Held
At risk of leavingDGII Held
At risk of leavingFTNT Held
At risk of leavingNEO Held
At risk of leavingOGN Held
At risk of leavingHZO Held MarineMax, Inc.
Near its stop (1% above)Preview, not final. This re-runs the model's rules on the latest daily data. Ranks can change before the Oct 30 close, and the official holdings are set only on rebalance day. Not a recommendation to trade ahead of it.
Backtest
2016-10 to 2026-09 (120 months), after 10 bps per side trading costs. Growth of $10,000, log scale.
Backtest only counts stocks after they joined the S&P 1500.
Momentum BlendSPY
| In-sample Oct16–Dec21 | Out-of-sample Jan22–Sep26 | Full | |
|---|---|---|---|
| Annual return | +18.1% | +16.0% | +17.1% |
| SPY | +18.3% | +12.0% | +15.2% |
| Excess vs SPY | -0.2% | +4.0% | +1.8% |
| Volatility | 17.3% | 24.8% | 21.1% |
| Sharpe (rf=0) | 1.05 | 0.72 | 0.86 |
| Max drawdown | -28.1% | -20.2% | -28.1% |
| SPY max drawdown | -19.4% | -20.2% | -23.9% |
| Turnover / month | 35.2% one-way | ||
| Best / worst year | +39.4% (2021) / -5.1% (2022) | ||
Methodology: earlier, looser backtest
Until Oct 19, 2026 this page showed a backtest that used today's index members for the whole history, so it could "buy" stocks before they joined the index (often right after their biggest run-ups). That version returned +24.7% a year in-sample, +20.2% out-of-sample and +22.5% over the full period (max drawdown -28.9%). The figures above replace it.
Read this before trusting the numbers. Chosen on 2016-2021 data only (combination of in-sample winners); 2022-2026 untouched. Backtest only counts stocks after they joined the S&P 1500. Point-in-time S&P 500/400/600 membership; S&P 600 changes before Dec 2019 are not available, so small-cap membership before then uses the Dec 2019 list. Former members that still trade are included; companies that were acquired or delisted have no price data and are still missing, so some survivorship bias remains. Costs: 10 bps per side on every dollar traded; no taxes or slippage beyond that; cash earns 0%. Past results are not a forecast.
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