// STUDY RESULT · 1990-01 TO 2026-07
52-Week High Momentum
NO EDGENearness to the 52-week high forecasts returns better than past returns, and its gains do not reverse later; the authors attribute this to investors anchoring on the 52-week high when judging news.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 4.5% | 9.0% |
| Return per unit of risk (Sharpe) | 0.41 | 0.66 |
| Worst fall (max drawdown) | -49.3% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 8.0% a year against 12.4% for the benchmark; Sharpe 0.30 in the training years, 0.62 after.
After 25 bps of trading costs: 0.1% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 6.4% | 15.5% |
| 2000s | -5.4% | -2.6% |
| 2010s | 9.0% | 11.6% |
| 2020s | 11.1% | 14.1% |
// THE IDEA, AS PUBLISHED
George & Hwang (2004), Journal of Finance · 2004
- Rank stocks by current price divided by the highest price of the past 12 months
- Buy the top 30 percent (nearest the high), sell the bottom 30 percent, equal-weighted
- Hold 6 months in overlapping monthly cohorts
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.