// STUDY RESULT · 1998-01 TO 2026-09

Inspired by Jegadeesh and Titman: Cross-Sectional Momentum

TRADE-OFF

Stocks that outperformed over the past 3-12 months keep outperforming over the next 3-12 months.

How this run differs from the source: Drops stocks up more than 150%, a cap the paper does not have, and holds 20 names for one month, not deciles for 3 to 12 months.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	16.3%	9.3%
Sharpe ratio	0.66	0.66
Max drawdown	-66.5%	-50.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 15.9% against 14.0% for the benchmark; Sharpe 0.65 in-sample, 0.67 out-of-sample.

After 25 bps of trading costs: 10.6% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	64.4%	20.9%
2000s	3.0%	-0.8%
2010s	18.5%	14.0%
2020s	22.0%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*14.9%27.2%

1999147.0%21.0%

2000-20.5%-9.1%

200143.0%-11.9%

2002-10.7%-22.1%

2003115.5%28.7%

200413.8%10.9%

20056.6%4.9%

20064.4%15.8%

20071.6%5.5%

2008-46.8%-37.0%

2009-9.0%26.5%

201055.9%15.1%

20119.5%2.1%

201223.9%16.0%

201346.5%32.4%

20147.1%13.7%

20155.1%1.4%

20165.5%12.0%

201729.0%21.8%

2018-16.7%-4.4%

201933.6%31.5%

202076.6%18.4%

20218.0%28.7%

2022-1.5%-18.1%

20235.9%26.3%

20242.7%25.0%

202546.2%17.9%

2026*24.6%11.8%

Losing years: 2000 (-20.5%), 2002 (-10.7%), 2008 (-46.8%), 2009 (-9.0%), 2018 (-16.7%), 2022 (-1.5%). Each cell: the strategy, then the benchmark below it. * a part year.

// THE IDEA, AS PUBLISHED

Jegadeesh & Titman (1993), Journal of Finance · 1993

Rank NYSE and AMEX stocks on their past 3, 6, 9 or 12-month return (no gap, or a one-week gap)
Buy the top decile, sell the bottom decile, equal-weighted
Form monthly and hold 3 to 12 months in overlapping cohorts

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-08 20:46 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY