Momentum · issue of Oct 19, 2026 · Monthly
Momentum 2.0
Two fixes for the oldest strategy in quant.
Sharpe 0.44 → 0.74 over 58 years and the 2009 crash cut from −45% to −12% — weaker, but still ahead, in the last decade.
Long 10 industries, short 10, at 65% of full size for October 2026
Kenneth French's library updates monthly, a month or two behind.
Exact positions, live levels and the robustness checks for this issue are on the Analyst plan. The stance above and the full record are open to everyone.
Track record
| Last 5 years | Since 1968 | Classic industry momentum, since 1968 | |
|---|---|---|---|
| Annual return | 8.2% | 9.6% | 7.4% |
| Sharpe ratio | 0.64 | 0.75 | 0.57 |
| Worst drawdown | -16.9% | -23.6% | -40.2% |
A backtest with the issue's own costs, extended to the last close. Past performance does not guarantee future results.
Stance history
In the market 24 of the last 24 months, returning +23.0% across them. No change of stance in the window.
Research Lab
Written down before the results existed: Every month after the issue returns between -5.7% and +7.1%: the range of 90% of the 698 such stretches in the backtest up to Sep 30, 2026.
No window has completed since the issue went out yet.
Check 1 is running: 0 of 1 months in, judged on Nov 30, 2026.
Checked by the program when each window completes and sealed into the record. Misses stay public; the record counts both ways.
The issue's numbers, reproduced
Every figure the issue printed, recomputed on the same window from the platform's own price history.
| Figure | In the issue | Recomputed | |
|---|---|---|---|
| Sharpe ratio, 1968–2026, after costs | 0.74 | 0.74 | matches |
| Worst drawdown | -24.0% | -23.6% | matches |
| Sharpe ratio, 2000–2026 | 0.53 | 0.53 | matches |
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