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Classic quant

Momentum

Jegadeesh & Titman
Performance
Assuming an initial $100,000 · Benchmark: S&P 500
Hypothetical
Replication modeTop 10Main holdings
YTD1Y5Y8YAll
CompoundFixed

Gains are reinvested — principal and returns grow together.

$1M$2M$3M2012/022016/122021/112026/09$719k$2.76M
Backtest through 2026-09-11
Strategy backtestBenchmark · S&P 500
Strategy backtest — the rule-based portfolio, rebalanced on schedule with costs included.
Benchmark — S&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?
26.1%
Compound annual return over the sample.
Risk?
33.5%
How much returns swing (annualized stdev); lower is steadier.
Return vs risk?
0.86
Return ÷ volatility; higher is better.
Beat SPX?
+11.3%
Annualized gain over the S&P.
Excess?
+7.8%
The strategy's own annual excess, apart from the market.
Significance?
t=1.31 · moderate
t-value: how solid the excess is — higher is more reliable.
Max DD?
−47.3%
Largest peak-to-trough fall.
Leverage?
1.39×
How many times it rises and falls together with the market.
Longest recovery?
35 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 10Main holdings
Current holdingsPosition changes
Holdings last updated 2026-08-31
Main holdings · by market cap
TickerNameWeightvs last filing
MU
Micron Technology, Inc.
23.7%−1.6 ▼
AMD
Advanced Micro Devices
16.9%New
INTC
Intel Corp
10.0%−2.5 ▼
LRCX
Lam Research Corp
8.3%−1.7 ▼
AMAT
Applied Materials Inc
8.0%−3.0 ▼
DELL
Dell Technologies Inc
6.5%New
SNDK
Sandisk Corporation Common Stock
5.1%—
MRVL
Marvell Technology Inc
4.1%−0.4 ▼
STX
Seagate Technology Holdings PLC Ordinary Shares (Ireland)
4.0%−1.1 ▼
WDC
Western Digital Corp.
3.4%−1.7 ▼
LITE
Lumentum Holdings Inc. Common Stock
1.4%—
BE
Bloom Energy Corporation
1.3%−0.3 ▼
TER
Teradyne, Inc. Common Stock
1.2%−0.4 ▼
FIX
Comfort Systems USA, Inc.
1.2%New
CIEN
Ciena Corporation
1.2%−0.3 ▼
COHR
Coherent Corp.
1.2%−0.2 ▼
RVMD
Revolution Medicines Inc
1.0%—
ATI
ATI
0.6%New
ROIV
ROIV
0.6%New
GH
Guardant Health Inc
0.5%—
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.
A single factor does not work all the time. Styles rotate: the same factor can trail the market for years and then lead for years. Holding only one of them is not the way to use these.
Past / backtested performance does not predict the future. Data and calculations may contain errors; we correct them when found. Masterfolio is an information service / publisher, not an investment adviser. Fund and manager names refer to their public filings only; no affiliation or endorsement.
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