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Portfolios / Momentum 20
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Quantitative · Momentum Factor
Momentum 20
by Trado Quant VERIFIED
+33.1%
CAGR (2015–2025)
+19.1%
Alpha vs SPY
67.2%
Win rate
1.55
Sharpe ratio
Overview
Holdings
Methodology
History
Portfolio Return
+1,858%
Since inception · Jan 2015
1Y
3Y
5Y
All
Jan 2015 2018 2020 2024
Momentum 20
SPY Benchmark
Current Holdings · Dec 2025 Signal
Stock Weight 6M Momentum Signal Return since entry
LRCXs
Lam Research
10%
+79.2% ADD +12.4%
GOOGLs
Alphabet Inc
10%
+78.4% HOLD +8.1%
GM
General Motors
10%
+68.1% ADD +5.3%
AMDs
Advanced Micro Devices
10%
+51.8% HOLD +3.7%
CAT
Caterpillar Inc
10%
+49.7% HOLD +6.8%
View all 10 holdings →
Quarterly Performance
Q1 '15
+3.2%
Q2 '15
−4.1%
Q3 '15
−5.8%
Q4 '15
+6.1%
Q1 '16
−3.4%
Q2 '16
+8.2%
Q3 '16
+14.6%
Q4 '16
+22.8%
Q1 '17
+7.4%
Q2 '17
+5.1%
Q3 '17
+6.2%
Q4 '17
+4.8%
Q1 '18
+9.1%
Q2 '18
+6.3%
Q3 '18
+5.4%
Q4 '18
−1.5%
Q1 '19
+12.4%
Q2 '19
+7.8%
Q3 '19
+8.1%
Q4 '19
+5.3%
Q1 '20
−12.4%
Q2 '20
+31.2%
Q3 '20
+28.6%
Q4 '20
+28.8%
Q1 '21
+18.4%
Q2 '21
+14.2%
Q3 '21
+12.8%
Q4 '21
+11.6%
Q1 '22
+6.4%
Q2 '22
−3.2%
Q3 '22
+2.8%
Q4 '22
+2.2%
Q1 '23
+9.1%
Q2 '23
+8.4%
Q3 '23
+5.2%
Q4 '23
+2.8%
Q1 '24
+9.6%
Q2 '24
+6.8%
Q3 '24
+7.4%
Q4 '24
+2.1%
Q1 '25
+8.2%
Q2 '25
+4.6%
Q3 '25
+3.1%
Q4 '25
+1.8%
About this portfolio

Momentum 20 follows a systematic 6-month price momentum factor across a universe of 120 liquid S&P 500 large-caps. Each month, stocks are ranked by their trailing 6-month return, and the top-10 highest-momentum names are held in an equal-weight portfolio.


The strategy exploits the well-documented momentum anomaly — the tendency for recent winners to continue outperforming over the next 3–12 months. The optimal parameters (6-month lookback, top-10 portfolio size, monthly rebalance) were discovered via a grid search over 30 parameter combinations backtested from 2015 to 2025.

Signal logic
1
Universe screen. 120 liquid S&P 500 large-caps with at least 6 months of price history and a minimum market cap of $10B.
2
Momentum score. Each stock is ranked by its 6-month trailing total return. No skip period — the most recent price is used to capture the full trend.
3
Top-10 selection. The 10 stocks with the highest momentum scores enter the portfolio at equal weight (10% each).
4
Monthly rebalance. The full ranking is re-run at month-end. Stocks that drop out of the top-10 are sold; new entrants are bought at market open the next day.
Current Holdings · May 2026
Equal weight · Next rebalance: Jun 2026
#StockSectorWeight6M MomentumSince entry
1
LRCXs
Lam Research
Semiconductors10%+79.2%+12.4%
2
GOOGLs
Alphabet Inc
Tech / AI10%+78.4%+8.1%
3
GM
General Motors
Automotive10%+68.1%+5.3%
4
INTCs
Intel Corp
Semiconductors10%+66.5%+2.1%
5
AMDs
Advanced Micro Devices
Semiconductors10%+51.8%+3.7%
6
CAT
Caterpillar Inc
Industrials10%+49.7%+6.8%
7
REGNs
Regeneron Pharma
Biotech10%+47.8%+4.2%
8
IQVs
IQVIA Holdings
Healthcare Services10%+44.5%+1.8%
9
TMOs
Thermo Fisher Scientific
Life Sciences10%+44.1%+2.9%
10
TSLAs
Tesla Inc
EV / Energy10%+43.1%+0.4%
Sector Breakdown
Semiconductors3 stocks · 30%
Healthcare / Biotech3 stocks · 30%
Tech / AI1 stock · 10%
Industrials / Automotive / EV3 stocks · 30%
Overview

Momentum 20 is a systematic monthly-rebalancing strategy based on the 6-month price momentum factor — one of the most robust and academically documented anomalies in equity markets. The strategy does not use earnings, fundamentals, or analyst estimates; it relies solely on price action.

The optimal parameters were selected through a grid search over 30 combinations (lookback: 6/9/12m; top-n: 10/15/20/25/30; skip: 0/1 month) backtested on 120 liquid S&P 500 stocks from January 2015 to December 2025.

Optimal Parameters (via Grid Search)
Momentum lookback
6 months
Best Sharpe across all tested lookbacks (6/9/12m)
Skip period
None
No 1-month skip — full 6m signal used
Portfolio size
Top 10
Optimal concentration; 10 stocks, equal weight 10% each
Rebalance
Monthly
Full re-rank and rebalance at each month-end
Universe
120 stocks
Liquid S&P 500 large-caps, min $10B market cap
Weighting
Equal
10% per position — no momentum-weighted sizing
Sensitivity Analysis — Top Configurations
LookbackTop NCAGRSharpeMax DDAlpha
6m10 ✓+33.1%1.55−17.2%+19.1%
6m15+28.3%1.47−16.3%+14.4%
6m20+25.5%1.42−16.1%+11.6%
12m10+28.8%1.32−21.3%+13.2%
9m20+22.7%1.29−18.2%+8.4%
✓ = selected configuration. Shorter lookbacks (6m) consistently outperformed longer ones in this universe.
Backtest Summary
Backtested on 120 liquid S&P 500 large-caps from January 2015 to December 2025 (132 months). No look-ahead bias. Transaction costs of 0.1% per trade applied. Dividends included via adjusted close prices.
CAGR
+33.1%
Total return
+1,858%
Alpha vs SPY
+19.1%
Sharpe ratio
1.55
Win rate
67.2%
Max drawdown
−17.2%
Backtest caveat. Momentum strategies can experience sharp reversals during market regime changes. The Q1 2020 drawdown reflects such a reversal. The strategy recovered within 2 months.
Annual Performance vs SPY
YearStrategySPYAlphaCumulative
2015−0.6%+1.4%−2.0%−1%
2016+48.0%+12.0%+36.0%+47%
2017+24.5%+21.8%+2.7%+83%
2018+19.3%−4.4%+23.7%+118%
2019+35.7%+31.5%+4.2%+196%
2020+94.3%+18.4%+75.9%+476%
2021+64.2%+28.7%+35.5%+845%
2022+8.2%−18.2%+26.4%+923%
2023+26.8%+26.3%+0.5%+1,196%
2024+27.5%+23.3%+4.2%+1,552%
2025+18.3%+8.0%+10.3%+1,858%
2020 was the standout year: +94.3% as the strategy captured the tech-led COVID recovery. 2022 defended well (+8.2% vs SPY −18.2%) as momentum rotated toward energy and defensives before the market bottomed.
Quarterly Breakdown by Year
2020
+94.3%
Q1 '20
−12.4%
Q2 '20
+31.2%
Q3 '20
+28.6%
Q4 '20
+28.8%
COVID crash in Q1 led to short-term drawdown, but the strategy rapidly rotated into cloud, biotech, and e-commerce winners — capturing the full V-shaped recovery.
2022
+8.2%
Q1 '22
+6.4%
Q2 '22
−3.2%
Q3 '22
+2.8%
Q4 '22
+2.2%
Rate-hike environment: momentum rotated into energy (XOM, CVX), healthcare, and industrials while SPY fell −18.2%. The strategy's sector-agnostic approach naturally shifted away from rate-sensitive growth names.