US 9-1 Momentum Strategy — S&P 500 Top 4, Monthly
Current portfolio reconstituted on 2026-10-01: SNDK, MRNA, DELL, MU. Next systematic rebalance takes place on the first trading day of November 2026 (equal weight 25% each, monthly cadence).
Current Portfolio (Top 4)
| Symbol | Company | Sector | Signal Return (9-1) | Position Size % | Entry Month | Holding Period | Position Return |
|---|---|---|---|---|---|---|---|
| Sandisk | Information Technology | +633.0% | 25.0% | 2026-01 | 9 months | +633.0% | |
| Moderna | Health Care | +553.0% | 25.0% | 2026-09 | New Entry | +37.2% | |
| Dell Technologies | Information Technology | +331.3% | 25.0% | 2026-09 | New Entry | +18.0% | |
| Micron Technology | Information Technology | +273.4% | 25.0% | 2026-06 | 4 months | +9.7% |
Turnover Buffer & Standby Reserve (Ranks #5 – #8)
| Rank | Symbol | Company | Sector | Signal Return (9-1) | Status |
|---|---|---|---|---|---|
#5 | Seagate Technology | Information Technology | +236.0% | Next In Line | |
#6 | Intel | Information Technology | +225.8% | Standby | |
#7 | Bloom Energy | Industrials | +218.8% | Standby | |
#8 | Marvell Technology | Information Technology | +211.4% | Standby |
The portfolio strictly holds the top 4 momentum leaders. The next 4 highest-ranked stocks (ranks #5 through #8) form the standby buffer reserve.
Incumbent positions are protected from unnecessary churn as long as they stay within the top-8 cohort. If an existing holding drops below rank #8 at monthly rebalance, it is replaced by the next highest-ranking candidate from this reserve.
Exited: LITE, WDC
Rolling 10-Year Equity Curve (Net vs SPY)
View full equity curve data table (accessible / JS fallback)
| Month | US 9-1 Net | SPY Benchmark |
|---|---|---|
| 2017-09 | $100.00 | $100.00 |
| 2017-09 | $103.03 | $102.01 |
| 2017-10 | $111.09 | $104.42 |
| 2017-11 | $119.97 | $107.61 |
| 2017-12 | $111.88 | $108.92 |
| 2018-01 | $135.85 | $115.05 |
| 2018-02 | $129.99 | $110.87 |
| 2018-03 | $132.76 | $107.83 |
| 2018-04 | $140.31 | $108.39 |
| 2018-05 | $162.78 | $111.02 |
| 2018-06 | $179.99 | $111.66 |
| 2018-07 | $183.25 | $115.80 |
| 2018-08 | $235.12 | $119.50 |
| 2018-09 | $235.95 | $120.21 |
| 2018-10 | $169.09 | $111.90 |
| 2018-11 | $173.15 | $113.97 |
| 2018-12 | $157.42 | $103.94 |
| 2019-01 | $190.77 | $112.26 |
| 2019-02 | $193.71 | $115.90 |
| 2019-03 | $187.69 | $118.00 |
| 2019-04 | $197.75 | $122.82 |
| 2019-05 | $189.50 | $114.99 |
| 2019-06 | $209.33 | $122.99 |
| 2019-07 | $209.62 | $124.85 |
| 2019-08 | $206.61 | $122.76 |
| 2019-09 | $193.41 | $125.15 |
| 2019-10 | $197.86 | $127.91 |
| 2019-11 | $222.43 | $132.54 |
| 2019-12 | $218.76 | $136.39 |
| 2020-01 | $234.49 | $136.34 |
| 2020-02 | $239.61 | $125.54 |
| 2020-03 | $220.54 | $109.87 |
| 2020-04 | $296.67 | $123.82 |
| 2020-05 | $352.18 | $129.72 |
| 2020-06 | $394.40 | $132.02 |
| 2020-07 | $460.51 | $139.79 |
| 2020-08 | $562.02 | $149.55 |
| 2020-09 | $564.02 | $143.95 |
| 2020-10 | $514.28 | $140.36 |
| 2020-11 | $778.92 | $155.63 |
| 2020-12 | $767.55 | $161.40 |
| 2021-01 | $848.96 | $159.75 |
| 2021-02 | $810.56 | $164.19 |
| 2021-03 | $731.18 | $171.65 |
| 2021-04 | $793.15 | $180.73 |
| 2021-05 | $808.42 | $181.92 |
| 2021-06 | $783.58 | $186.00 |
| 2021-07 | $824.21 | $190.54 |
| 2021-08 | $850.03 | $196.21 |
| 2021-09 | $863.19 | $187.06 |
| 2021-10 | $929.90 | $200.19 |
| 2021-11 | $913.23 | $198.58 |
| 2021-12 | $822.22 | $207.76 |
| 2022-01 | $712.68 | $196.81 |
| 2022-02 | $752.48 | $191.00 |
| 2022-03 | $753.06 | $198.18 |
| 2022-04 | $725.49 | $180.78 |
| 2022-05 | $846.01 | $181.19 |
| 2022-06 | $651.26 | $166.25 |
| 2022-07 | $749.84 | $181.56 |
| 2022-08 | $821.11 | $174.15 |
| 2022-09 | $724.18 | $158.05 |
| 2022-10 | $803.31 | $170.90 |
| 2022-11 | $860.30 | $180.40 |
| 2022-12 | $748.59 | $170.00 |
| 2023-01 | $731.31 | $180.69 |
| 2023-02 | $713.63 | $176.15 |
| 2023-03 | $808.70 | $182.68 |
| 2023-04 | $752.20 | $185.60 |
| 2023-05 | $943.34 | $186.46 |
| 2023-06 | $1073.76 | $198.54 |
| 2023-07 | $1203.02 | $205.04 |
| 2023-08 | $1176.72 | $201.70 |
| 2023-09 | $1069.68 | $192.14 |
| 2023-10 | $900.09 | $187.97 |
| 2023-11 | $1007.52 | $205.14 |
| 2023-12 | $1232.50 | $214.50 |
| 2024-01 | $1504.08 | $217.92 |
| 2024-02 | $2275.36 | $229.29 |
| 2024-03 | $2668.54 | $236.79 |
| 2024-04 | $2469.02 | $227.24 |
| 2024-05 | $2711.70 | $238.73 |
| 2024-06 | $2566.35 | $247.16 |
| 2024-07 | $2467.99 | $250.15 |
| 2024-08 | $2216.06 | $255.99 |
| 2024-09 | $2752.89 | $261.37 |
| 2024-10 | $3348.42 | $259.04 |
| 2024-11 | $4967.13 | $274.49 |
| 2024-12 | $4240.79 | $267.88 |
| 2025-01 | $4717.72 | $275.08 |
| 2025-02 | $4320.17 | $271.58 |
| 2025-03 | $3548.99 | $256.45 |
| 2025-04 | $4056.40 | $254.23 |
| 2025-05 | $5267.12 | $270.21 |
| 2025-06 | $5872.07 | $284.09 |
| 2025-07 | $6524.30 | $290.63 |
| 2025-08 | $7567.37 | $296.60 |
| 2025-09 | $10165.17 | $307.16 |
| 2025-10 | $11821.64 | $314.48 |
| 2025-11 | $11118.81 | $315.10 |
| 2025-12 | $11067.30 | $315.35 |
| 2026-01 | $18495.54 | $320.00 |
| 2026-02 | $23292.92 | $317.23 |
| 2026-03 | $22364.17 | $301.57 |
| 2026-04 | $37502.58 | $333.25 |
| 2026-05 | $44268.21 | $350.78 |
| 2026-06 | $52414.00 | $347.17 |
| 2026-07 | $38425.70 | $347.29 |
| 2026-08 | $43831.70 | $356.60 |
| 2026-09 | $52295.16 | $355.43 |
Key Performance Statistics (10-Year Rolling)
Historical Backtest & Trade Inspector
Annual Return Summary vs SPY
| Symbol / Company | Sector | Entry Month | Exit Month | Duration | Trade Return | Status |
|---|---|---|---|---|---|---|
Moderna | Health Care | 2026-09 | In portfolio | 1 month | +37.2% | Open |
Dell Technologies | Information Technology | 2026-09 | In portfolio | 1 month | +18.0% | Open |
Micron Technology | Information Technology | 2026-06 | In portfolio | 4 months | +9.7% | Open |
Sandisk | Information Technology | 2026-01 | In portfolio | 9 months | +633.0% | Open |
Lumentum | Information Technology | 2025-12 | 2026-09 | 9 months | +181.3% | Closed |
Western Digital | Information Technology | 2025-12 | 2026-09 | 9 months | +176.3% | Closed |
Seagate Technology | Information Technology | 2025-10 | 2026-01 | 3 months | +17.0% | Closed |
EchoStar | Communication Services | 2025-09 | 2025-12 | 3 months | +18.6% | Closed |
Bloom Energy | Industrials | 2025-08 | 2026-06 | 10 months | +662.2% | Closed |
Reddit | Communication Services | 2025-07 | 2025-08 | 1 month | +6.7% | Closed |
GE Vernova | Industrials | 2025-05 | 2025-07 | 2 months | +42.7% | Closed |
Texas Pacific Land Corporation | Energy | 2025-04 | 2025-05 | 1 month | -2.7% | Closed |
Robinhood Markets | Financials | 2025-03 | 2025-12 | 9 months | +156.5% | Closed |
Reddit | Communication Services | 2025-02 | 2025-04 | 2 months | -47.4% | Closed |
Tesla, Inc. | Consumer Discretionary | 2025-01 | 2025-02 | 1 month | +0.2% | Closed |
What is 9-1 skip-month momentum?
The 9-1 cross-sectional momentum framework is an established quantitative factor model designed to capture sustained intermediate-term trends while eliminating 1-month mean-reversion noise.
- Skip-Month Lookback: Measures returns over months t-10 to t-1 ((close[t-1] / close[t-10]) - 1), excluding the most recent completed month to avoid short-term liquidity bounces and reversal noise.
- Top-4 Equal Weight: Concentrates capital into the 4 strongest relative momentum leaders (25% each) with 100% long exposure, zero leverage, and no short selling.
- Low-Turnover Buffer: Uses a 1-name buffer zone (up to rank #5) to prevent unnecessary whipsaws when rankings fluctuate marginally month-to-month. Existing holdings are only replaced if they fall out of the top 5.
Frequently Asked Questions
What is the US 9-1 Momentum strategy?
The US 9-1 Momentum strategy ranks S&P 500 constituents by their total return from 9 months ago to 1 month ago ((close[t-1] / close[t-10]) - 1), skipping the most recent completed month to filter out short-term reversal noise. The portfolio equally weights the top 4 leaders (25% each) and rebalances on the first trading day of every month.
What stocks are currently held in the portfolio?
The strategy currently holds equal-weight (25% each) positions in: SNDK (Sandisk), MRNA (Moderna), DELL (Dell Technologies), MU (Micron Technology). These holdings remain active until the next monthly rebalance boundary.
How has the strategy performed relative to SPY over 10 years?
Over the 10-year rolling backtest, US 9-1 delivered a net CAGR of +99.2% vs +15.0% for the SPY benchmark. Maximum drawdown was -33.3% (compared to -23.9% for SPY), outperforming the index in 65.1% of months with an average monthly turnover of 28.7%.
Why skip the most recent completed month (skip-month rule)?
Empirical research demonstrates that 1-month equity returns frequently exhibit short-term mean reversion driven by market-maker inventory rebalancing and liquidity shocks. Excluding the most recent month isolates the true intermediate-term drift and filters out whipsaw noise.
How does the buffer rule reduce turnover and transaction friction?
The strategy applies a 1-name buffer (rank #5). When turnover is moderate (differs by ≤ 2 names), incumbent holdings are preserved if they remain ranked within the top 5. This prevents unnecessary transactions caused by minor month-to-month rank fluctuations.
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Disclaimer: For educational and research purposes only. Nothing on this page constitutes investment advice, financial recommendation, or solicitation to buy or sell securities. Past performance is no guarantee of future results.