Momentum Top 15
Owns the 15 S&P 500 stocks with the strongest 12-month gains (skipping the latest month), rebalanced monthly.
LiveS&P 500 (current members)15 holdingsMonthly (last trading day)
Backtest basis. Prices only: the backtest uses the full rules.
Return over
+3.1%
SPY +0.4%
1D
+3.1%
holdings
1W
-11.2%
holdings
1M
-8.6%
holdings
3M
+20.3%
holdings
YTD
+191.3%
holdings
1Y
+268.4%
holdings
Incep.
+3.1%
live
Current holdings at today's weights over each period (hypothetical); Incep. is the live tracked record.
How it works
What it owns
The 15 S&P 500 companies whose share price rose the most from 12 months ago to 1 month ago. Each gets 1/15 (about 6.7%).
Why skip the last month
Very recent winners tend to give back a little in the short run, so the signal ignores the latest month. This is the standard academic '12-1' momentum definition.
When it trades
On the last trading day of each month it re-ranks all S&P 500 stocks and swaps names that fell out of the top 15.
What can go wrong
Momentum crashes in sharp market reversals (for example, early 2009). 15 names concentrated in whatever is hot can mean big sector bets. Turnover is about 30% a month.
Current holdings
Signal date 2026-09-30 · next rebalance Fri Oct 30, 2026 · live tracked portfolio →
Changes vs 2026-08-31: Buy MRNA, TWLO · Sell AMAT, LRCX
SNDK Sandisk
6.7%
12-1 momentum % 1,296.35
Information Technology · last $1,299.30 · stock page →
MU Micron Technology
6.7%
12-1 momentum % 473.91
Information Technology · last $878.84 · stock page →
LITE Lumentum
6.7%
12-1 momentum % 462.20
Information Technology · last $824.13 · stock page →
MRNA Moderna
6.7%
12-1 momentum % 443.32
Health Care · last $218.01 · stock page →
WDC Western Digital
6.7%
12-1 momentum % 275.85
Information Technology · last $332.00 · stock page →
STX Seagate Technology
6.7%
12-1 momentum % 252.70
Information Technology · last $639.01 · stock page →
DELL Dell Technologies
6.7%
12-1 momentum % 225.75
Information Technology · last $451.71 · stock page →
AMD Advanced Micro Devices
6.7%
12-1 momentum % 190.95
Information Technology · last $528.75 · stock page →
INTC Intel
6.7%
12-1 momentum % 166.80
Information Technology · last $89.85 · stock page →
CIEN Ciena
6.7%
12-1 momentum % 162.79
Information Technology · last $332.73 · stock page →
COHRCOHR Coherent Corp.
6.7%
12-1 momentum % 157.92
Information Technology · last $232.90 · stock page →
TER Teradyne
6.7%
12-1 momentum % 154.56
Information Technology · last $325.00 · stock page →
MRVLMRVL Marvell Technology
6.7%
12-1 momentum % 152.30
Information Technology · last $227.83 · stock page →
BE Bloom Energy
6.7%
12-1 momentum % 143.94
Industrials · last $221.31 · stock page →
TWLOTWLO Twilio
6.7%
12-1 momentum % 135.42
Information Technology · last $244.37 · stock page →
On the bubble Preview
From prices through 2026-10-16 · top 15 make the cut · next rebalance Fri Oct 30
4 likely to enter4 at risk of leaving
HPE Hewlett Packard Enterprise
#10Likely to enter
VLO Valero Energy
#12Likely to enter
ILMN Illumina, Inc.
#13Likely to enterTER Held Teradyne
#14Holding on, near the cutoff
AMAT Applied Materials
#15Likely to enterCOHRCOHR Held Coherent Corp.
#16At risk of leavingTWLOTWLO Held Twilio
#17At risk of leaving
LRCX Lam Research
#18Just outsideBE Held Bloom Energy
#19At risk of leaving
FTNT Fortinet
#20Just outsideCIEN Held Ciena
#26At risk of leavingPreview, 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 500.
Momentum Top 15SPY
| In-sample Oct16–Dec21 | Out-of-sample Jan22–Sep26 | Full | |
|---|---|---|---|
| Annual return | +9.0% | +26.6% | +17.0% |
| SPY | +18.3% | +12.0% | +15.2% |
| Excess vs SPY | -9.3% | +14.6% | +1.8% |
| Volatility | 20.4% | 31.2% | 26.1% |
| Sharpe (rf=0) | 0.53 | 0.91 | 0.73 |
| Max drawdown | -25.3% | -24.4% | -25.3% |
| SPY max drawdown | -19.4% | -20.2% | -23.9% |
| Turnover / month | 33.9% one-way | ||
| Best / worst year | +41.3% (2019) / -7.8% (2018) | ||
Why 15 names?
Same rules, different portfolio size (10 bps costs). Fewer names won more in this sample, but the most concentrated result is also the least reliable: a handful of picks can swing it. 15 is a compromise between concentration and diversification.
| Names | In-sample | Out-of-sample | OOS max DD |
|---|---|---|---|
| 10 | +7.6% | +30.6% | -25.1% |
| 15 | +9.0% | +26.6% | -24.4% |
| 20 | +9.8% | +22.9% | -25.2% |
| 30 | +12.2% | +22.0% | -18.5% |
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 +30.7% a year in-sample, +62.9% out-of-sample and +45.1% over the full period (max drawdown -27.7%). The figures above replace it.
Read this before trusting the numbers. Backtest only counts stocks after they joined the S&P 500. Membership is point-in-time: a stock is eligible only while it was actually in the index on the rebalance date (it can't be picked before it joined, or after it was removed). 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. Rebalanced at each month-end close; signals use only data available at that close. Costs: 10 bps per side on every dollar traded; no taxes or slippage beyond that; cash earns 0%. Past results are not a forecast.
coteau