Strategy
Cross-Sectional Momentum
Ranks stocks by 12-month return skipping the latest month.
EXPERIMENTAL
Methodology
- Method
- 12–1 month return, cross-sectionally z-scored; top names held with a per-name cap.
- Data
- Daily adjusted bars
- Horizon
- ~1 month
- Strategy pod
- mom
Risk caveat
Momentum suffers sharp crashes in market rebounds (−76% in the 1930s in our century-long industry test).
Validation evidence
Out-of-sample Sharpe not significantly different from an equal-weight universe (90% CI includes zero).
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.