Invest like a master
For information and research only. Not investment advice.
Classic quant

Momentum

Jegadeesh & Titman
Performance
Assuming an initial $100,000 · Benchmark: S&P 500
Hypothetical
Replication modeTop 5Top 10>1%
YTD1Y5Y8YAll
CompoundFixed

Gains are reinvested — principal and returns grow together.

$200k$400k2021/082023/042024/112026/07$177k$439k
Backtest through 2026-07-01
Strategy backtestBenchmark · S&P 500
Strategy backtestthe rule-based portfolio, rebalanced on schedule with costs included.
BenchmarkS&P 500 (SPY) total return over the same window — what doing nothing but holding the market would earn.

Hypothetical backtest — not a real trading record. Simulated on public data from 2012-02: each position is bought only after the filing became public (using no information unavailable at the time), with trading costs deducted, on a total-return basis. Past performance does not predict future results.

All metrics below are computed on the strategy-backtest curve.
Return?
23.9%
Compound annual return over the sample.
Risk?
35.9%
How much returns swing (annualized stdev); lower is steadier.
Return vs risk?
0.78
Return ÷ volatility; higher is better.
Beat SPX?
+9.1%
Annualized gain over the S&P.
Excess?
+6.5%
The strategy's own annual excess, apart from the market.
Significance?
t=0.94 · weak
t-value: how solid the excess is — higher is more reliable.
Max DD?
−50.4%
Largest peak-to-trough fall.
Leverage?
1.40×
How many times it rises and falls together with the market.
Longest recovery?
44 mo
Longest wait from a peak back to a new high.
About
Jegadeesh & Titman

Buy last year's winners and sell last year's losers — as counterintuitive as it sounds. Jegadeesh and Titman's classic 1993 paper showed with hard data that winners keep winning over the following months, an excess return so persistent that even Fama called momentum “the premier anomaly.” Three decades on, it recurs across nearly every market and asset class, yet still lacks a fully agreed-upon explanation.

Holdings & changes
Replication modeTop 5Top 10>1%
Current holdingsPosition changes
Holdings last updated 2026-06-30
>1% · filed weights
TickerNameWeightvs last filing
AXTI
AXT Inc
5.2%
SNDK
Sandisk Corporation Common Stock
5.2%
BE
Bloom Energy Corporation
5.2%
OPEN
Opendoor Technologies Inc Common Stock
5.2%
LITE
Lumentum Holdings Inc. Common Stock
5.1%
PL
Planet Labs PBC
5.1%
WDC
Western Digital Corp.
5.1%
MU
Micron Technology, Inc.
5.1%+0.3
VICR
Vicor Corp
5.0%New
CIEN
Ciena Corporation
5.0%
ONDS
Ondas Inc. Common Stock
5.0%
HUT
Hut 8 Corp. Common Stock
5.0%New
MXL
MaxLinear, Inc. Common Stock
4.9%
AAOI
Applied Optoelectronics, Inc.
4.9%
STX
Seagate Technology Holdings PLC Ordinary Shares (Ireland)
4.9%
WULF
TeraWulf Inc. Common Stock
4.9%
VSAT
Viasat Inc
4.8%
DOCN
DigitalOcean Holdings, Inc.
4.8%New
INTC
Intel Corp
4.8%New
CIFR
Cipher Digital Inc. Common Stock
4.8%
Risk
This strategy mechanically reproduces public research / published methods; the backtest includes trading costs but not taxes or market impact. A rule that worked historically may not work in the future.
Past / backtested performance does not predict the future. Masterfolio is an information service / publisher, not an investment adviser.
Back
HomePro ToolsMy libraryAccount
Momentum · Jegadeesh & Titman · Masterfolio