A Twelve-Month Lagged Momentum Strategy Across Stocks

Summary

This strategy ranks stocks by their return during the month one year earlier, then buys the strongest group and shorts the weakest. It forms portfolios monthly and rebalances at month end. The described source approach uses equal weighting and a large-cap universe drawn from NYSE and AMEX; the implementation notes instead use a broader US universe and value weighting. The code selects stocks using liquidity and market capitalization filters, then assigns weights according to market cap within the long and short groups.

The document provides an algorithm implementation, not empirical results: it gives no performance statistics, benchmark comparison, or robustness analysis. Implementation choices differ from the summarized source strategy, and the code applies leverage and a custom fee model. These details matter when interpreting any backtest, while the excerpt does not establish that the strategy earns returns after costs or generalizes across market periods.

Key ideas

• The strategy ranks stocks by performance in the month one year before portfolio formation.
• It takes long positions in the strongest-ranked group and short positions in the weakest-ranked group.
• Portfolios are rebalanced monthly, with implementation weights based on market capitalization.
• The implementation uses a different universe and weighting approach than the summarized source version.
• The document supplies code but no backtest results or evidence of robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.