Sector momentum 12-month · top 3 of 9 sectors (after Moskowitz & Grinblatt 1999)
'Do Industries Explain Momentum?' showed industry momentum drives much of stock momentum. Approximation: rank the 9 SPDR sector ETFs on 252-day return and hold the top 3. Falsified if it fails to beat equal-weight sectors.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 8.31% | 7.84% |
| Volatility | 18.60% | 18.32% |
| Sharpe | 0.52 | 0.50 |
| Max drawdown | -49.14% | -54.86% |
| Turnover (per year) | 2.73 |
Deflated Sharpe: 0.41 (n trials: 220) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(ret(252))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 3,
"universe": [
"XLB",
"XLE",
"XLF",
"XLI",
"XLK",
"XLP",
"XLU",
"XLV",
"XLY"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/sector-momentum-12-month-top-3-of-9-sectors-after-moskowitz-93b4df/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy sector-momentum-12-month-top-3-of-9-sectors-after-moskowitz-93b4df and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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