All strategies › Pick by metrics › Momentum (12-month winners)
14Momentum (12-month winners)
Hold the biggest gainers of the past 12 months (skipping the last month) — riding the winners.
Result
vs. All-World: Lost
vs. TOPIX: Lost
After tax and costs it returned −18.7% a year. Holding the all-world index over the same period returned 14.2%, and TOPIX 11.2%.
Growth of ¥1M (log scale, month-end). The strategy is after tax and costs; indexes include dividends. Values in ¥10,000.
The numbers
| Annual return (after tax & costs) | −18.7% |
|---|---|
| Annual return (before tax) | −18.9% |
| Difference vs. All-World (after tax) | −32.9pt |
| Difference vs. TOPIX (after tax) | −29.9pt |
| 3-year runs that beat All-World | 0% (75 runs) |
| 3-year runs that beat TOPIX | 0% (75 runs) |
| Maximum drawdown | −88.0% |
| Winning trades | 32% (255 trades) |
| Median trade return | −14.0% |
What if the exit rule were different?
Here we re-screen and rebalance every three months. Keeping the same entry but switching among 16 exit rules gives after-tax annual returns of −19.5% to −3.3% (median −11.6%). Compare with 14.2% for the all-world index.
Picking the best of 16 after the fact tends to find a lucky one, so we fixed the exit rule by strategy type in advance.
- Period: 2017-07-03 to 2026-09-30 (~9.2 years)
- ¥10M capital split equally across up to 10 stocks, 100-share lots
- Universe: average daily trading value ≥ ¥100M, price ≤ ¥10,000, listed for at least a year
- Trades at the next day's open; costs from 0.1% per side, rising with order size relative to liquidity
- Japanese tax of 20.315% (annual loss offset, 3-year loss carry-forward); dividends taxed on receipt