// STUDY RESULT · 1990-01 TO 2026-07
Cross-Sectional Momentum (Jegadeesh-Titman)
TRADE-OFFStocks that outperformed over the past 3-12 months keep outperforming over the next 3-12 months.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 11.2% | 9.0% |
| Return per unit of risk (Sharpe) | 0.57 | 0.66 |
| Worst fall (max drawdown) | -61.7% | -52.6% |
// GROWTH OF $1, LOG SCALE
AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD
Tested on years it never saw (from the split): 18.3% a year against 12.4% for the benchmark; Sharpe 0.46 in the training years, 0.77 after.
After 25 bps of trading costs: 8.0% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 7.3% | 15.5% |
| 2000s | 1.0% | -2.6% |
| 2010s | 15.7% | 11.6% |
| 2020s | 28.1% | 14.1% |
// 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
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.