Absolute Momentum
Updated 2026-06-23
US Large Absolute Momentum
Holds US large-cap stocks only when they show positive absolute momentum and are in a confirmed uptrend. Moves to cash in bear markets. Rebalances weekly.
10 YEAR CAGR
+14.61%
10-Year Annualised Return
10 Year CAGR
+14.61%
Annualised · last 10 years
10Y Max Drawdown
-22.53%
Peak to trough · last 10 years
10Y Sharpe Ratio
0.79
Risk-adjusted · last 10 years
10 Years Return
+290.85%
Total return · last 10 years
Portfolio Performance
2026-06-22
Portfolio: —
SP500: —
DD: —
Portfolio
SP500
Drawdown from Peak
Strategy Details
Strategy
Absolute Momentum
Universe
US_Large
Positions
10 stocks
Rebalancing
Weekly — Every Monday
Current Holdings
View Holdings →Current portfolio positions are available to members. Last rebalanced: 2026-06-29 · Next: Monday 29 Jun 2026
Annual Returns
Portfolio
SP500
Period Returns
| Period | Total Return | CAGR |
|---|---|---|
| 1 Year | +75.1% | +75.4% |
| 3 Years | +116.1% | +29.3% |
| 5 Years | +119.7% | +17.1% |
| 10 Years | +290.9% | +14.6% |
| Since Inception | +321.6% | +14.7% |
| Calmar Ratio | 0.65 | |
Year-by-Year Results
vs SP500| Year | Portfolio | SP500 | Alpha |
|---|---|---|---|
| 2026 | +55.0% | +10.3% | +44.7% |
| 2025 | +9.5% | +16.6% | -7.1% |
| 2024 | +18.1% | +24.0% | -5.9% |
| 2023 | +7.1% | +24.7% | -17.6% |
| 2022 | -5.5% | -19.9% | +14.4% |
| 2021 | +25.3% | +28.8% | -3.5% |
| 2020 | +18.7% | +15.3% | +3.4% |
| 2019 | +8.7% | +28.7% | -20.0% |
| 2018 | -7.2% | -7.0% | -0.2% |
| 2017 | +27.5% | +18.4% | +9.1% |
| 2016 | +9.8% | +11.2% | -1.4% |
Investment Calculator
If you invested
$
at the start of the selected period
Portfolio Value
$10,000
+0.0%
SP500 Value
$10,000
+0.0%