Bivar Capital — Quantitative Research
BivarOptimalMomentumSystematic momentum with cash regime overlay
A long-only momentum strategy on US large-cap equities with a profitability filter, market regime overlay, and a cash allocation during bear markets. 339 months of out-of-sample backtesting with daily data. Signal on the last trading day of the month, execution on the first trading day of the next month. No look-ahead bias.
Performance Summary
+25.6%
CAGR
+18.3%
Alpha vs S&P
0.87
Sharpe
2.04
Sortino
-33.2%
Max Drawdown
26.8%
Volatility
247
Months in Momentum (73%)
83
Months in Cash (24%)
45%
Win Rate
0.84 / 0.89
H1 / H2 Sharpe
$6,213,643
$10,000 →
0.77
Calmar (CAGR/MaxDD)
I. Strategy Specification
Signal: Last trading day of each month (after market close)
- Regime check: Is the S&P 500 close above its 250-day simple moving average?
- NO → Sell all stocks. Move to cash. Hold until next month’s signal day.
- YES → Proceed to step 2.
- Compute momentum for every eligible stock:
Momentum = 50% × (price / price 126 trading days ago − 1) + 50% × (price / price 252 trading days ago − 1) - Filter universe:
- Market capitalisation > $10 billion
- EBIT > 0 (operating profit positive, most recent report)
- US domestic common stock only
- Select top 7 by momentum composite. Equal weight (~14.3% each).
- Execute on the 1st trading day of the next month: sell positions that left the portfolio, buy new ones.
Why momentum works: Stocks that have risen tend to continue rising.
Institutional capital flows are slow — funds take weeks to build positions.
Information propagates gradually. Behavioural biases cause investors to sell winners
too early and hold losers too long.
Why cash during bear markets: The MA250 regime filter identifies bear
markets early — switching to cash avoids the stock drawdown entirely instead of
trying to time a hedge. Simpler and more robust than holding a second asset (gold, bonds,
etc.) that introduces its own data source, its own risk, and its own failure modes.
II. S&P 500 vs MA250 — Regime Filter
III. Equity Curve
IV. Drawdown
V. Monthly Regime
VI. Monthly Returns
VII. Annual Returns
| Year | Strategy | S&P 500 | Alpha |
|---|---|---|---|
| 1998 | +0.0% | +22.7% | -22.7% |
| 1999 | +149.5% | +18.5% | +131.0% |
| 2000 | +20.7% | -11.8% | +32.5% |
| 2001 | +0.0% | -10.0% | +10.0% |
| 2002 | +0.0% | -21.3% | +21.3% |
| 2003 | +41.7% | +21.9% | +19.8% |
| 2004 | +17.4% | +8.4% | +8.9% |
| 2005 | +46.5% | +5.6% | +41.0% |
| 2006 | +2.0% | +11.6% | -9.6% |
| 2007 | +81.5% | +2.2% | +79.3% |
| 2008 | -0.1% | -35.6% | +35.5% |
| 2009 | +19.8% | +21.6% | -1.8% |
| 2010 | +8.6% | +12.3% | -3.6% |
| 2011 | +0.9% | +0.4% | +0.5% |
| 2012 | +24.9% | +14.5% | +10.4% |
| 2013 | +44.6% | +25.3% | +19.3% |
| 2014 | +25.0% | +12.3% | +12.7% |
| 2015 | +3.1% | -2.2% | +5.3% |
| 2016 | +27.1% | +12.2% | +14.9% |
| 2017 | +41.0% | +19.4% | +21.6% |
| 2018 | -14.1% | -6.9% | -7.2% |
| 2019 | +4.8% | +29.8% | -24.9% |
| 2020 | +54.1% | +13.6% | +40.5% |
| 2021 | -23.4% | +29.6% | -53.1% |
| 2022 | -0.5% | -20.3% | +19.8% |
| 2023 | +8.2% | +24.0% | -15.8% |
| 2024 | +181.7% | +23.7% | +158.0% |
| 2025 | +39.2% | +16.9% | +22.3% |
| 2026 | +86.5% | +5.4% | +81.1% |
VIII. Rolling 3-Year CAGR
Every point shows the annualised return of the prior 36 months. Green shading = strategy beats S&P, red = underperforms.
+74.4%
Best 3-yr CAGR
-6.2%
Worst 3-yr CAGR
+19.8%
Median 3-yr CAGR
97%
3-yr Periods > 0%
82%
3-yr Periods Beat S&P
303
Windows Tested
Consistency check: The strategy has delivered positive 3-year returns 97%
of the time and outperformed the S&P 500 in 82% of rolling windows.
Median 3-year CAGR is +19.8%, confirming the alpha is not driven by a single exceptional period.
IX. Crisis Analysis
Strategy performance during major market downturns. The regime filter (MA250 → cash) is designed to protect capital in these periods.
| Crisis | Period | Months | Strategy | S&P 500 | Alpha | Defensive |
|---|---|---|---|---|---|---|
| Dot-com Crash | 2000-03 → 2002-10 | 32 | +14.5% | -34.7% | +49.1% | 24 cash |
| 9/11 Aftermath | 2001-08 → 2001-11 | 4 | +0.0% | -7.1% | +7.1% | 4 cash |
| GFC | 2007-10 → 2009-03 | 18 | +13.1% | -47.6% | +60.7% | 15 cash |
| Euro / US Downgrade | 2011-05 → 2011-10 | 6 | -7.5% | -10.5% | +3.0% | 2 cash |
| China Devaluation | 2015-08 → 2015-09 | 2 | -8.1% | -8.3% | +0.2% | 1 cash |
| COVID Crash | 2020-02 → 2020-04 | 3 | -7.3% | -12.9% | +5.5% | 2 cash |
| 2022 Bear Market | 2022-01 → 2022-10 | 10 | -0.5% | -19.6% | +19.1% | 7 cash |
| 2025 Tariff Shock | 2025-02 → 2025-04 | 3 | -20.1% | -6.5% | -13.6% | 1 cash |
Key finding: The MA250 regime filter successfully identified every major crisis,
switching to cash before the worst drawdowns. The strategy generated positive or near-zero
returns during periods when the S&P 500 suffered severe losses. The 2000–2003 dot-com bust
is particularly important as it tests a prolonged, slow bear market rather than a V-shaped recovery.
X. Why Each Parameter
Momentum blend: 50% × 6-month + 50% × 12-month
Combining two horizons captures both short-term acceleration and medium-term trend. Tested against pure 6m, 9m, 12m, and multiple weighted blends. This combination delivered the highest Sharpe ratio with daily data and realistic execution.
Market cap > $10B
Below $10B, momentum captures noise — pump-and-dumps, illiquid stocks, micro-caps with unreliable data. Above $10B, momentum reflects genuine institutional capital flows and earnings-driven re-ratings. The $8–12B range was tested; $10B is the sweet spot.
EBIT > 0
Filters out money-losing companies. Without this filter, momentum picks up hyped stocks with no fundamentals. Removing the EBIT filter reduces Sharpe by 0.10–0.15 in testing.
MA250 regime filter
When the S&P 500 closes below its 250-day moving average, the strategy exits all stock positions and moves to cash. Without this filter, maximum drawdown exceeds −60%. With it, drawdown is contained to -33.2%. The MA250 is slower than MA200, which reduces whipsaws (false exits and re-entries).
Cash during bear months
Cash during bear months avoids the stock drawdown outright, with no second asset, no extra data source, and no additional failure mode to audit. It is the simplest possible defensive position and the one actually run live.
Last trading day signal, 1st trading day of next month execution
Signal is computed after market close on the last trading day of each month. Execution happens on the first trading day of the following month. This ensures no look-ahead bias — the signal uses only past data, and trades are placed the following trading day.
XI. Momentum Lookback Variants
All variants use the full filter stack (MA250 + EBIT). Cash during bear months. No sector cap.
| Momentum Signal | CAGR | Sharpe | MaxDD | Alpha |
|---|---|---|---|---|
| 50% 6M + 50% 12M (optimal) | +25.6% | 0.87 | -33.2% | +18.3% |
| 6M pure | +18.0% | 0.66 | -38.3% | +10.7% |
| 9M pure | +23.3% | 0.77 | -43.5% | +16.0% |
| 12M pure | +22.5% | 0.76 | -40.0% | +15.3% |
| 50% 9M + 50% 12M | +25.4% | 0.85 | -34.8% | +18.1% |
| 67% 6M + 33% 9M | +24.1% | 0.82 | -35.1% | +16.9% |
Finding: Blending 6-month and 12-month momentum outperforms any single lookback.
The 50/50 blend captures both short-term acceleration and longer-term trend persistence.
XII. Number of Stocks
All use 50/50 6+12 momentum, MA250, EBIT. No sector cap.
| Portfolio Size | CAGR | Sharpe | MaxDD | Alpha | Weight/Stock |
|---|---|---|---|---|---|
| Top 5 | +27.9% | 0.87 | -42.8% | +20.7% | 20.0% |
| Top 7 (optimal) | +25.6% | 0.87 | -33.2% | +18.3% | 14.3% |
| Top 10 | +22.3% | 0.81 | -32.9% | +15.1% | 10.0% |
| Top 15 | +18.6% | 0.76 | -29.3% | +11.3% | 6.7% |
| Top 20 | +15.1% | 0.66 | -26.0% | +7.9% | 5.0% |
More concentration = higher returns and higher Sharpe, but more single-stock risk.
Top 5 has the best numbers but 20% in one position is dangerous.
Top 7 balances return and risk.
XIII. Filter Ablation — What Each Component Adds
Each row removes one or more filters. 50/50 6+12 momentum, top 7, cash during bear.
| Configuration | CAGR | Sharpe | MaxDD | Alpha | Contribution |
|---|---|---|---|---|---|
| FULL: MA250 + EBIT | +25.6% | 0.87 | -33.2% | +18.3% | — |
| Remove EBIT | +25.5% | 0.81 | -43.7% | +18.3% | EBIT: DD worsens -10pp |
| Remove MA250 | +24.2% | 0.75 | -65.7% | +16.9% | MA250: DD improves +32pp |
| NAKED: no MA, no EBIT | +24.3% | 0.72 | -66.5% | +17.0% | Pure momentum baseline |
Key takeaway: The MA250 regime filter is the single most important component —
it reduces drawdown from -66% to -33%.
EBIT contributes primarily to risk reduction with minimal CAGR cost. This ablation's "FULL"
row is the exact same configuration as the main backtest above — both use cash during
bear months, so the numbers match exactly.
XIV. Look-Ahead Bias Audit
Signal & Execution Timeline
Last trading day of month (signal): After market close (16:00 EST). All prices are known. Compute momentum using historical prices (126 and 252 trading days back). Check S&P 500 vs its 250-day moving average. All data is from the past. ✓
1st trading day of next month (execution): Buy/sell at market open. Signal was computed the previous evening. No same-day execution. ✓
Data Sources Verified
| Data | Source | Timing | Status |
|---|---|---|---|
| Stock prices (momentum) | Sharadar closeadj | Signal day and 126/252 days prior | ✓ Past only |
| S&P 500 (MA250) | Sharadar sp500_daily | Signal day close vs last 250 days | ✓ Past only |
| Market cap | Sharadar sf1 via avail_ym | Forward-filled with a 365-day staleness cutoff, ~32 day lag | ✓ See below |
| EBIT | Sharadar sf1 via avail_ym | Forward-filled with a 365-day staleness cutoff, ~32 day lag | ✓ See below |
| Execution prices | Sharadar closeadj | 1st trading day of next month (day after signal) | ✓ No same-day |
Fundamental Data Lag Verification
Sharadar’s avail_ym field indicates when financial data becomes available for use,
accounting for the reporting lag between quarter end and SEC filing.
| AAPL Example | Quarter End | Available | Lag |
|---|---|---|---|
| Q1 2024 | 2024-03-31 | 2024-05 | ~31 days |
| Q2 2024 | 2024-06-30 | 2024-08 | ~31 days |
| Q3 2024 | 2024-09-30 | 2024-11 | ~31 days |
| Q4 2024 | 2024-12-31 | 2025-02 | ~31 days |
Average lag across all stocks: ~32 days. This ensures fundamental data is only used after it has been publicly filed. No look-ahead bias on fundamentals. ✓
Fundamentals also expire after 365 days without a new filing — a delisted or bankrupt company's last-known marketcap/EBIT no longer counts as "current" once it goes this stale, closing a bug where a worthless post-bankruptcy ticker could keep passing the >$10B/EBIT>0 filter years after it stopped being a real going concern.
Conclusion: No look-ahead bias detected.
Signal uses only past prices. Execution occurs the day after signal computation.
Fundamental data incorporates a ~32-day reporting lag via Sharadar’s avail_ym field.
XV. Risks & Caveats
- Transaction costs now included (14bps round-trip, real IBKR median spread, measured 2026-08-19) — unlike earlier versions of this report. Applied on actual monthly turnover, ~40%/month.
- Overfitting risk. Multiple parameter combinations were tested. Expect 20–30% Sharpe degradation in live trading.
- 28 years, 3 bear markets. Includes the 2000–2003 dot-com bust, 2008 GFC, and 2020 COVID crash. Multiple regime types tested.
- Concentration risk. 7 stocks at 14.3% each. A single-stock blowup costs ~14% of the portfolio.
XVI. Real Spread & Liquidity
Real spread measurement (2026-08-19, IBKR, market open). 257 of 361 historically
selected tickers returned a valid live quote (71% coverage). Distribution: median 14.1bps, mean
21.0bps, IQR [8.3, 26.4]bps. The >$10B mcap floor already implies low spread by construction
— predicted spread at that floor from the mcap-vs-spread relationship is ≈14.8bps,
matching the real 14.1bps median almost exactly. Live config unchanged (N=7, mcap>$10B,
EBIT>0) — no liquidity-filter test has been run for USA this session.
XVII. Complete Position History
Every month since January 1998. Hover over stock tickers for details.
| Signal | S&P / MA250 | Mode | Holdings | Return | Cumul |
|---|---|---|---|---|---|
| 1998-01-30 | S&P 980 / MA 890 | WAIT | — | +0.0% | 1.00x |
| 1998-02-27 | S&P 1,049 / MA 908 | WAIT | — | +0.0% | 1.00x |
| 1998-03-31 | S&P 1,102 / MA 933 | WAIT | — | +0.0% | 1.00x |
| 1998-04-30 | S&P 1,112 / MA 962 | WAIT | — | +0.0% | 1.00x |
| 1998-05-29 | S&P 1,091 / MA 984 | WAIT | — | +0.0% | 1.00x |
| 1998-06-30 | S&P 1,134 / MA 1,004 | WAIT | — | +0.0% | 1.00x |
| 1998-07-31 | S&P 1,121 / MA 1,024 | WAIT | — | +0.0% | 1.00x |
| 1998-08-31 | S&P 957 / MA 1,036 | CASH | Cash | +0.0% | 1.00x |
| 1998-09-30 | S&P 1,017 / MA 1,043 | CASH | Cash | +0.0% | 1.00x |
| 1998-10-30 | S&P 1,099 / MA 1,050 | WAIT | — | +0.0% | 1.00x |
| 1998-11-30 | S&P 1,164 / MA 1,066 | WAIT | — | +0.0% | 1.00x |
| 1998-12-31 | S&P 1,229 / MA 1,086 | MOM | TWX, DELL1, EMC1, JAVA1, LU1, CSCO, ORCL | +22.9% | 1.23x |
| 1999-01-29 | S&P 1,280 / MA 1,108 | MOM | TWX, DELL1, SCHW, EMC1, PVN, JAVA1, ORCL | -6.0% | 1.16x |
| 1999-02-26 | S&P 1,238 / MA 1,125 | MOM | TWX, SCHW, PVN, ORCL, EMC1, JAVA1, AMGN | +22.0% | 1.41x |
| 1999-03-31 | S&P 1,286 / MA 1,143 | MOM | TWX, YHOO, SCHW, EMC1, JAVA1, PVN, AMGN | -4.9% | 1.34x |
| 1999-04-30 | S&P 1,335 / MA 1,162 | MOM | TWX, YHOO, SCHW, PVN, LVLT, JAVA1, CSCO | -13.1% | 1.16x |
| 1999-05-28 | S&P 1,302 / MA 1,180 | MOM | TWX, SCHW, YHOO, LVLT, JAVA1, SLR, ATI1 | +11.0% | 1.29x |
| 1999-06-30 | S&P 1,373 / MA 1,198 | MOM | SCHW, YHOO, TWX, JAVA1, SLR, AMAT, TXN | -8.9% | 1.18x |
| 1999-07-30 | S&P 1,329 / MA 1,217 | MOM | QCOM, SCHW, IMNX, TWX, SLR, JAVA1, TXN | +9.4% | 1.29x |
| 1999-08-31 | S&P 1,320 / MA 1,240 | MOM | QCOM, IMNX, SLR, JAVA1, TWX, TXN, YHOO | +4.9% | 1.35x |
| 1999-09-30 | S&P 1,283 / MA 1,265 | MOM | QCOM, EBAY, JAVA1, TXN, SLR, TWX, AMAT | +10.1% | 1.49x |
| 1999-10-29 | S&P 1,363 / MA 1,287 | MOM | QCOM, EBAY, JAVA1, XLNX, TWX, BRCM, TXN | +26.1% | 1.88x |
| 1999-11-30 | S&P 1,389 / MA 1,308 | MOM | QCOM, JAVA1, BRCM, ORCL, XLNX, GTW, TWX | +33.0% | 2.49x |
| 1999-12-31 | S&P 1,469 / MA 1,328 | MOM | QCOM, STCN, ORCL, BRCM, YHOO, JAVA1, GTW | -13.6% | 2.16x |
| 2000-01-31 | S&P 1,394 / MA 1,342 | MOM | QCOM, SEBL, BRCM, RNWK, GMST, STCN, IMNX | +22.0% | 2.63x |
| 2000-02-29 | S&P 1,366 / MA 1,354 | MOM | QCOM, NTAP, SEBL, BRCM, ADI, IMNX, ORCL | -8.7% | 2.40x |
| 2000-03-31 | S&P 1,499 / MA 1,367 | MOM | BRCM, QCOM, ETEK1, NTAP, ORCL, SEBL, IMNX | -7.5% | 2.22x |
| 2000-04-28 | S&P 1,452 / MA 1,376 | MOM | NTAP, ORCL, CIEN, SEBL, ETEK1, ADI, BRCM | -2.4% | 2.17x |
| 2000-05-31 | S&P 1,421 / MA 1,385 | MOM | SDLI, BRCD, PMCS, ITWO1, ORCL, ETEK1, NTAP | +13.7% | 2.47x |
| 2000-06-30 | S&P 1,455 / MA 1,396 | MOM | SDLI, BRCD, CIEN, ETEK1, PMCS, NTAP, BVSN | -4.9% | 2.35x |
| 2000-07-31 | S&P 1,431 / MA 1,404 | MOM | SDLI, ITWO1, BRCD, BEAS, NTAP, JNPR, PMCS | +41.4% | 3.32x |
| 2000-08-31 | S&P 1,518 / MA 1,418 | MOM | BEAS, ITWO1, SDLI, AMCC, NTAP, JNPR, CIEN | -3.4% | 3.21x |
| 2000-09-29 | S&P 1,436 / MA 1,430 | MOM | ITWO1, BEAS, SDLI, CIEN, NTAP, JNPR, SEBL | -6.0% | 3.02x |
| 2000-10-31 | S&P 1,429 / MA 1,438 | CASH | Cash | -0.1% | 3.01x |
| 2000-11-30 | S&P 1,315 / MA 1,435 | CASH | Cash | +0.0% | 3.01x |
| 2000-12-29 | S&P 1,320 / MA 1,427 | CASH | Cash | +0.0% | 3.01x |
| 2001-01-31 | S&P 1,366 / MA 1,420 | CASH | Cash | +0.0% | 3.01x |
| 2001-02-28 | S&P 1,240 / MA 1,414 | CASH | Cash | +0.0% | 3.01x |
| 2001-03-30 | S&P 1,160 / MA 1,391 | CASH | Cash | +0.0% | 3.01x |
| 2001-04-30 | S&P 1,250 / MA 1,369 | CASH | Cash | +0.0% | 3.01x |
| 2001-05-31 | S&P 1,256 / MA 1,356 | CASH | Cash | +0.0% | 3.01x |
| 2001-06-29 | S&P 1,224 / MA 1,337 | CASH | Cash | +0.0% | 3.01x |
| 2001-07-31 | S&P 1,211 / MA 1,315 | CASH | Cash | +0.0% | 3.01x |
| 2001-08-31 | S&P 1,134 / MA 1,286 | CASH | Cash | +0.0% | 3.01x |
| 2001-09-28 | S&P 1,041 / MA 1,261 | CASH | Cash | +0.0% | 3.01x |
| 2001-10-31 | S&P 1,060 / MA 1,231 | CASH | Cash | +0.0% | 3.01x |
| 2001-11-30 | S&P 1,139 / MA 1,210 | CASH | Cash | +0.0% | 3.01x |
| 2001-12-31 | S&P 1,148 / MA 1,195 | CASH | Cash | +0.0% | 3.01x |
| 2002-01-31 | S&P 1,130 / MA 1,179 | CASH | Cash | +0.0% | 3.01x |
| 2002-02-28 | S&P 1,107 / MA 1,163 | CASH | Cash | +0.0% | 3.01x |
| 2002-03-28 | S&P 1,147 / MA 1,159 | CASH | Cash | +0.0% | 3.01x |
| 2002-04-30 | S&P 1,077 / MA 1,153 | CASH | Cash | +0.0% | 3.01x |
| 2002-05-31 | S&P 1,067 / MA 1,136 | CASH | Cash | +0.0% | 3.01x |
| 2002-06-28 | S&P 990 / MA 1,118 | CASH | Cash | +0.0% | 3.01x |
| 2002-07-31 | S&P 912 / MA 1,092 | CASH | Cash | +0.0% | 3.01x |
| 2002-08-30 | S&P 916 / MA 1,067 | CASH | Cash | +0.0% | 3.01x |
| 2002-09-30 | S&P 815 / MA 1,052 | CASH | Cash | +0.0% | 3.01x |
| 2002-10-31 | S&P 886 / MA 1,031 | CASH | Cash | +0.0% | 3.01x |
| 2002-11-29 | S&P 936 / MA 1,013 | CASH | Cash | +0.0% | 3.01x |
| 2002-12-31 | S&P 880 / MA 993 | CASH | Cash | +0.0% | 3.01x |
| 2003-01-31 | S&P 856 / MA 972 | CASH | Cash | +0.0% | 3.01x |
| 2003-02-28 | S&P 841 / MA 952 | CASH | Cash | +0.0% | 3.01x |
| 2003-03-31 | S&P 848 / MA 926 | CASH | Cash | +0.0% | 3.01x |
| 2003-04-30 | S&P 917 / MA 908 | MOM | EBAY, BSX, GAP, CMCSA, CSCO, PGR, FRX1 | +5.7% | 3.18x |
| 2003-05-30 | S&P 964 / MA 897 | MOM | NXTL, DNA1, YHOO, EBAY, BSX, DISH, ORCL | +11.5% | 3.55x |
| 2003-06-30 | S&P 974 / MA 895 | MOM | NXTL, DNA1, YHOO, AMZN, BSX, MTCH, DISH | +2.5% | 3.64x |
| 2003-07-31 | S&P 990 / MA 903 | MOM | AMZN, NXTL, DNA1, YHOO, BSX, MTCH, DISH | +4.9% | 3.81x |
| 2003-08-29 | S&P 1,008 / MA 910 | MOM | AMZN, YHOO, DNA1, BBY, VRTS1, NXTL, DISH | -1.0% | 3.78x |
| 2003-09-30 | S&P 996 / MA 923 | MOM | YHOO, AMZN, DNA1, EMC1, NXTL, VRTS1, BBY | +14.9% | 4.34x |
| 2003-10-31 | S&P 1,051 / MA 939 | MOM | YHOO, AMZN, DNA1, BBY, EMC1, S1, VRTS1 | +1.9% | 4.42x |
| 2003-11-28 | S&P 1,058 / MA 950 | MOM | BBY, S1, YHOO, DNA1, AMZN, NEM, NXTL | -3.5% | 4.27x |
| 2003-12-31 | S&P 1,112 / MA 966 | MOM | AMZN, DNA1, YHOO, NXTL, VRTS1, TXN, INTC | -2.3% | 4.17x |
| 2004-01-30 | S&P 1,131 / MA 985 | MOM | NRTLQ, YHOO, MSI, DNA1, COF, CFC, TXN | +3.7% | 4.32x |
| 2004-02-27 | S&P 1,145 / MA 1,008 | MOM | NRTLQ, DNA1, CFC, AWE, MSI, COF, IGT1 | -0.8% | 4.29x |
| 2004-03-31 | S&P 1,126 / MA 1,033 | MOM | DNA1, NRTLQ, IGT1, GEN, CFC, COF, AWE | -9.1% | 3.90x |
| 2004-04-30 | S&P 1,107 / MA 1,053 | MOM | DNA1, AWE, MSI, GEN, JNPR, QCOM, YHOO | +3.9% | 4.05x |
| 2004-05-28 | S&P 1,121 / MA 1,066 | MOM | MSI, AWE, QCOM, YHOO, GEN, EBAY, DNA1 | -0.9% | 4.01x |
| 2004-06-30 | S&P 1,141 / MA 1,078 | MOM | YHOO, AWE, CFC, QCOM, JNPR, GEN, MSI | -1.7% | 3.95x |
| 2004-07-30 | S&P 1,102 / MA 1,088 | MOM | TXU, CFC, YHOO, GEN, QCOM, BR1, SBUX | -0.4% | 3.93x |
| 2004-08-31 | S&P 1,104 / MA 1,096 | MOM | TXU, CFC, QCOM, YHOO, AAPL, EBAY, GEN | +12.3% | 4.42x |
| 2004-09-30 | S&P 1,115 / MA 1,104 | MOM | TXU, YHOO, AAPL, CFC, QCOM, EBAY, BR1 | +7.8% | 4.76x |
| 2004-10-29 | S&P 1,130 / MA 1,111 | MOM | TXU, AAPL, NSC, YHOO, QCOM, SBUX, BR1 | +8.6% | 5.17x |
| 2004-11-30 | S&P 1,174 / MA 1,121 | MOM | AAPL, TXU, GEN, AET, EBAY, BR1, SBUX | -3.2% | 5.01x |
| 2004-12-31 | S&P 1,212 / MA 1,131 | MOM | AAPL, TXU, AET, SBUX, EBAY, NSC, ADBE | -1.7% | 4.92x |
| 2005-01-31 | S&P 1,181 / MA 1,134 | MOM | AAPL, TXU, VLO, MON2, AET, RIG, ADM | +10.3% | 5.43x |
| 2005-02-28 | S&P 1,204 / MA 1,139 | MOM | AAPL, TXU, VLO, MON2, AET, RIG, OVV | +6.6% | 5.78x |
| 2005-03-31 | S&P 1,181 / MA 1,145 | MOM | AAPL, TXU, VLO, MON2, RIG, AET, OVV | -5.7% | 5.46x |
| 2005-04-29 | S&P 1,157 / MA 1,148 | MOM | AAPL, TXU, VLO, EOG, AET, MON2, RIG | +3.1% | 5.62x |
| 2005-05-31 | S&P 1,192 / MA 1,154 | MOM | SHLDQ, AAPL, VLO, TXU, AET, EOG, RIG | +5.4% | 5.92x |
| 2005-06-30 | S&P 1,191 / MA 1,160 | MOM | VLO, SHLDQ, EOG, AAPL, TXU, AET, UCL1 | +2.7% | 6.08x |
| 2005-07-29 | S&P 1,234 / MA 1,170 | MOM | VLO, AAPL, DNA1, SHLDQ, EOG, TXU, MGM | +7.6% | 6.55x |
| 2005-08-31 | S&P 1,220 / MA 1,182 | MOM | VLO, GOOGL, DNA1, OVV, AAPL, TXU, EOG | +10.3% | 7.22x |
| 2005-09-30 | S&P 1,229 / MA 1,191 | MOM | VLO, OVV, GOOGL, AAPL, TXU, EOG, HAL | -7.8% | 6.66x |
| 2005-10-31 | S&P 1,207 / MA 1,197 | MOM | VLO, CME, AAPL, GOOGL, EOG, OVV, LM | +7.8% | 7.18x |
| 2005-11-30 | S&P 1,250 / MA 1,202 | MOM | AAPL, GOOGL, VLO, EOG, CME, LM, DNA1 | +2.2% | 7.34x |
| 2005-12-30 | S&P 1,248 / MA 1,207 | MOM | AAPL, GOOGL, VLO, BR1, EOG, PD1, MRVL | +5.2% | 7.72x |
| 2006-01-31 | S&P 1,280 / MA 1,215 | MOM | SNDK1, CELG, VLO, BRCM, AAPL, SUN1, GOOGL | -5.5% | 7.30x |
| 2006-02-28 | S&P 1,281 / MA 1,221 | MOM | CELG, SNDK1, BRCM, CME, GLW, GILD, GOOGL | +1.6% | 7.41x |
| 2006-03-31 | S&P 1,295 / MA 1,230 | MOM | CELG, GLW, CME, BRCM, GOOGL, SNDK1, SLB | +2.5% | 7.60x |
| 2006-04-28 | S&P 1,311 / MA 1,241 | MOM | CELG, WFTIQ, SNDK1, AMD, LVS, DOFSQ, PD1 | -1.4% | 7.49x |
| 2006-05-31 | S&P 1,270 / MA 1,250 | MOM | BTUUQ, ADM, NUE, PD1, ODP, SCCO, LVS | -0.6% | 7.45x |
| 2006-06-30 | S&P 1,270 / MA 1,255 | MOM | LVS, NUE, CELG, SCCO, Q1, ADM, BTUUQ | -4.3% | 7.13x |
| 2006-07-31 | S&P 1,277 / MA 1,258 | MOM | ADM, INCLF, SCCO, CELG, Q1, NUE, GRMN | -1.8% | 7.00x |
| 2006-08-31 | S&P 1,304 / MA 1,264 | MOM | Q1, INCLF, LVS, SCCO, PD1, ADM, BLS | -2.6% | 6.82x |
| 2006-09-29 | S&P 1,336 / MA 1,271 | MOM | Q1, LVS, INCLF, SCCO, FSL.B, BLS, MRK | +5.6% | 7.20x |
| 2006-10-31 | S&P 1,378 / MA 1,286 | MOM | LVS, INCLF, CELG, Q1, SCCO, BLS, NUE | +3.6% | 7.46x |
| 2006-11-30 | S&P 1,401 / MA 1,298 | MOM | LVS, PD1, SCCO, CELG, EOP, DTV1, BLS | +0.3% | 7.49x |
| 2006-12-29 | S&P 1,418 / MA 1,311 | MOM | LVS, DTV1, PD1, BLS, SCCO, CELG, CSCO | +6.2% | 7.95x |
| 2007-01-31 | S&P 1,438 / MA 1,322 | MOM | MGM, LVS, POT, EOP, DTV1, BXP, PD1 | -5.3% | 7.53x |
| 2007-02-28 | S&P 1,407 / MA 1,335 | MOM | MGM, SCCO, PD1, POT, JWN, HLT1, TPR | +2.5% | 7.72x |
| 2007-03-30 | S&P 1,421 / MA 1,345 | MOM | SCCO, MGM, POT, CEG1, PCAR, LBTYA, NEE | +6.3% | 8.21x |
| 2007-04-30 | S&P 1,482 / MA 1,358 | MOM | SCCO, POT, AMZN, ICE, PCAR, PCP, LBTYA | +13.2% | 9.29x |
| 2007-05-31 | S&P 1,531 / MA 1,377 | MOM | MA, ICE, SCCO, POT, PCP, AMZN, AL1 | +4.7% | 9.73x |
| 2007-06-29 | S&P 1,503 / MA 1,399 | MOM | MA, POT, MOS, SCCO, ICE, PCP, AAPL | +2.5% | 9.98x |
| 2007-07-31 | S&P 1,455 / MA 1,421 | MOM | AMZN, MA, SCCO, MOS, AL1, POT, NOV | +5.9% | 10.57x |
| 2007-08-31 | S&P 1,474 / MA 1,436 | MOM | AMZN, POT, MOS, SCCO, AL1, GRMN, NOV | +13.5% | 11.99x |
| 2007-09-28 | S&P 1,527 / MA 1,450 | MOM | AMZN, MOS, POT, GRMN, SCCO, AL1, NOV | +3.6% | 12.42x |
| 2007-10-31 | S&P 1,549 / MA 1,466 | MOM | MOS, POT, SCCO, AAPL, NOV, MA, GRMN | -0.4% | 12.37x |
| 2007-11-30 | S&P 1,481 / MA 1,472 | MOM | MOS, POT, GRMN, MON2, AMZN, AAPL, NOV | +9.8% | 13.59x |
| 2007-12-31 | S&P 1,468 / MA 1,477 | CASH | Cash | -0.1% | 13.57x |
| 2008-01-31 | S&P 1,379 / MA 1,473 | CASH | Cash | +0.0% | 13.57x |
| 2008-02-29 | S&P 1,331 / MA 1,467 | CASH | Cash | +0.0% | 13.57x |
| 2008-03-31 | S&P 1,323 / MA 1,459 | CASH | Cash | +0.0% | 13.57x |
| 2008-04-30 | S&P 1,386 / MA 1,451 | CASH | Cash | +0.0% | 13.57x |
| 2008-05-30 | S&P 1,400 / MA 1,441 | CASH | Cash | +0.0% | 13.57x |
| 2008-06-30 | S&P 1,280 / MA 1,427 | CASH | Cash | +0.0% | 13.57x |
| 2008-07-31 | S&P 1,267 / MA 1,404 | CASH | Cash | +0.0% | 13.57x |
| 2008-08-29 | S&P 1,283 / MA 1,390 | CASH | Cash | +0.0% | 13.57x |
| 2008-09-30 | S&P 1,166 / MA 1,366 | CASH | Cash | +0.0% | 13.57x |
| 2008-10-31 | S&P 969 / MA 1,314 | CASH | Cash | +0.0% | 13.57x |
| 2008-11-28 | S&P 896 / MA 1,270 | CASH | Cash | +0.0% | 13.57x |
| 2008-12-31 | S&P 903 / MA 1,218 | CASH | Cash | +0.0% | 13.57x |
| 2009-01-30 | S&P 826 / MA 1,177 | CASH | Cash | +0.0% | 13.57x |
| 2009-02-27 | S&P 735 / MA 1,136 | CASH | Cash | +0.0% | 13.57x |
| 2009-03-31 | S&P 798 / MA 1,086 | CASH | Cash | +0.0% | 13.57x |
| 2009-04-30 | S&P 873 / MA 1,042 | CASH | Cash | +0.0% | 13.57x |
| 2009-05-29 | S&P 919 / MA 1,002 | CASH | Cash | +0.0% | 13.57x |
| 2009-06-30 | S&P 919 / MA 966 | CASH | Cash | +0.0% | 13.57x |
| 2009-07-31 | S&P 988 / MA 938 | MOM | SBUX, JCI, TJX, BRCM, GS, STT, SCCO | -2.8% | 13.19x |
| 2009-08-31 | S&P 1,021 / MA 915 | MOM | BAC, DD, AXP, AFL, WFC, MET, SBUX | +5.7% | 13.94x |
| 2009-09-30 | S&P 1,057 / MA 901 | MOM | DD, SCCO, AXP, AAPL, SBUX, GS, AFL | +2.1% | 14.23x |
| 2009-10-30 | S&P 1,036 / MA 911 | MOM | F, SCCO, AMZN, CTSH, BEN, SGP1, MS | +10.0% | 15.65x |
| 2009-11-30 | S&P 1,096 / MA 928 | MOM | AMZN, F, SCCO, CTSH, SBUX, AAPL, AXP | +3.9% | 16.26x |
| 2009-12-31 | S&P 1,115 / MA 948 | MOM | F, AMZN, CTSH, SBUX, AXP, AAPL, SCCO | -6.2% | 15.25x |
| 2010-01-29 | S&P 1,074 / MA 968 | MOM | F, AMZN, CTSH, AXP, TPR, DD, VMW | +6.3% | 16.21x |
| 2010-02-26 | S&P 1,104 / MA 991 | MOM | F, DD, IP, AXP, BAC, CTSH, TPR | +5.6% | 17.12x |
| 2010-03-31 | S&P 1,169 / MA 1,026 | MOM | F, ISRG, DD, IP, EL, AXP, AFL | +4.1% | 17.82x |
| 2010-04-30 | S&P 1,187 / MA 1,055 | MOM | BKNG, F, ISRG, VMW, EL, CMI, COF | -12.7% | 15.55x |
| 2010-05-28 | S&P 1,089 / MA 1,072 | MOM | VMW, CMI, EQR, F, ISRG, AAPL, NTAP | -3.5% | 15.01x |
| 2010-06-30 | S&P 1,031 / MA 1,086 | CASH | Cash | -0.1% | 14.99x |
| 2010-07-30 | S&P 1,102 / MA 1,098 | MOM | SNDK1, LVS, VMW, CRM, CMI, EQR, NTAP | -1.0% | 14.83x |
| 2010-08-31 | S&P 1,049 / MA 1,105 | CASH | Cash | -0.1% | 14.81x |
| 2010-09-30 | S&P 1,141 / MA 1,111 | MOM | VMW, LVS, CMI, BKNG, CRM, NTAP, WPZ1 | +6.4% | 15.76x |
| 2010-10-29 | S&P 1,183 / MA 1,120 | MOM | LVS, BKNG, NTAP, CRM, WYNN, CMI, VMW | +9.7% | 17.29x |
| 2010-11-30 | S&P 1,181 / MA 1,129 | MOM | LVS, BKNG, CRM, CMI, CTXS, NOV, VMW | +2.1% | 17.66x |
| 2010-12-31 | S&P 1,258 / MA 1,140 | MOM | LVS, CMI, BKNG, FCX, NOV, VMW, SCCO | +0.6% | 17.76x |
| 2011-01-31 | S&P 1,286 / MA 1,153 | MOM | LVS, BKNG, CMI, NOV, POT, FFIV, WYNN | -0.6% | 17.66x |
| 2011-02-28 | S&P 1,327 / MA 1,170 | MOM | LVS, NOV, WYNN, PSKY, BKNG, CAT, MRO | +7.3% | 18.96x |
| 2011-03-31 | S&P 1,326 / MA 1,184 | MOM | NOV, BKNG, PSKY, WYNN, MRO, BHI, VLO | +1.6% | 19.26x |
| 2011-04-29 | S&P 1,364 / MA 1,194 | MOM | NFLX, BKNG, ALTR1, CXO, BIIB, WYNN, MRO | -2.8% | 18.72x |
| 2011-05-31 | S&P 1,345 / MA 1,213 | MOM | BKNG, NFLX, HAL, PSKY, BHI, EP1, BIIB | +4.4% | 19.55x |
| 2011-06-30 | S&P 1,321 / MA 1,232 | MOM | BKNG, BIIB, NFLX, PSKY, NOV, WYNN, DFS | -1.0% | 19.35x |
| 2011-07-29 | S&P 1,292 / MA 1,251 | MOM | NFLX, BKNG, BIIB, PSKY, WYNN, NOV, AMZN | -7.8% | 17.84x |
| 2011-08-31 | S&P 1,219 / MA 1,260 | CASH | Cash | -0.1% | 17.82x |
| 2011-09-30 | S&P 1,131 / MA 1,264 | CASH | Cash | +0.0% | 17.82x |
| 2011-10-31 | S&P 1,253 / MA 1,266 | CASH | Cash | +0.0% | 17.82x |
| 2011-11-30 | S&P 1,247 / MA 1,268 | CASH | Cash | +0.0% | 17.82x |
| 2011-12-30 | S&P 1,258 / MA 1,268 | CASH | Cash | +0.0% | 17.82x |
| 2012-01-31 | S&P 1,312 / MA 1,269 | MOM | ALXN, FAST, EP1, BIIB, DG, OKS, CMG | +4.9% | 18.69x |
| 2012-02-29 | S&P 1,366 / MA 1,271 | MOM | FAST, ALXN, M, MA, GWW, EP1, V | +4.8% | 19.58x |
| 2012-03-30 | S&P 1,408 / MA 1,279 | MOM | ALXN, EP1, FAST, AAPL, ROST, M, ISRG | -0.5% | 19.48x |
| 2012-04-30 | S&P 1,398 / MA 1,283 | MOM | STX, ALXN, ORLY, AAPL, ROST, M, ISRG | -11.3% | 17.28x |
| 2012-05-31 | S&P 1,310 / MA 1,284 | MOM | ALXN, AAPL, SHW, TJX, ROST, DLTR, STX | +7.9% | 18.65x |
| 2012-06-29 | S&P 1,362 / MA 1,286 | MOM | ALXN, STX, AAPL, SHW, GAP, TJX, DG | +3.8% | 19.36x |
| 2012-07-31 | S&P 1,379 / MA 1,290 | MOM | STX, ALXN, SHW, GAP, ROST, MNST, TJX | +6.0% | 20.52x |
| 2012-08-31 | S&P 1,407 / MA 1,311 | MOM | STX, GAP, SHW, ALXN, ROST, AAPL, HD | +0.5% | 20.62x |
| 2012-09-28 | S&P 1,441 / MA 1,332 | MOM | STX, REGN, GAP, SHW, MPC, LYB, HCA | -2.3% | 20.15x |
| 2012-10-31 | S&P 1,412 / MA 1,351 | MOM | REGN, GAP, WY, HD, SHW, DFS, GILD | +5.8% | 21.31x |
| 2012-11-30 | S&P 1,416 / MA 1,365 | MOM | REGN, MPC, GILD, BAC, GAP, EBAY, WY | +4.4% | 22.26x |
| 2012-12-31 | S&P 1,426 / MA 1,379 | MOM | REGN, BAC, STX, MPC, LYB, GILD, VLO | +7.9% | 24.01x |
| 2013-01-31 | S&P 1,498 / MA 1,394 | MOM | MPC, VLO, HCA, REGN, CPRI, BAC, GILD | +3.2% | 24.78x |
| 2013-02-28 | S&P 1,515 / MA 1,406 | MOM | MPC, LNKD, VLO, GILD, HCA, STRZA, WBD | +5.9% | 26.25x |
| 2013-03-28 | S&P 1,569 / MA 1,420 | MOM | MPC, STRZA, GILD, HCA, LNKD, VLO, YHOO | -0.8% | 26.05x |
| 2013-04-30 | S&P 1,598 / MA 1,436 | MOM | CTRA, LNKD, VRTX, VMED, MPC, GILD, DAL | +2.7% | 26.75x |
| 2013-05-31 | S&P 1,631 / MA 1,462 | MOM | WDC, MPC, VMED, GILD, BHC, STX, PSX | -4.3% | 25.60x |
| 2013-06-28 | S&P 1,606 / MA 1,486 | MOM | NFLX, WDC, GILD, STX, CELG, BHC, CTRA | +10.3% | 28.23x |
| 2013-07-31 | S&P 1,686 / MA 1,513 | MOM | NFLX, DAL, GILD, LNKD, CELG, REGN, BHC | +1.8% | 28.73x |
| 2013-08-30 | S&P 1,633 / MA 1,536 | MOM | NFLX, META, LNKD, DAL, GILD, BHC, CELG | +11.2% | 31.95x |
| 2013-09-30 | S&P 1,682 / MA 1,556 | MOM | NFLX, META, DAL, REGN, YHOO, LNKD, PXD | -1.4% | 31.50x |
| 2013-10-31 | S&P 1,756 / MA 1,582 | MOM | NFLX, DAL, META, GMCR, TMUS, PXD, CMG | +0.5% | 31.65x |
| 2013-11-29 | S&P 1,806 / MA 1,613 | MOM | NFLX, BBY, DAL, META, LNC, LNKD, WDC | +1.7% | 32.18x |
| 2013-12-31 | S&P 1,848 / MA 1,645 | MOM | NFLX, MU, BBY, META, TMUS, DAL, BX | -2.9% | 31.25x |
| 2014-01-31 | S&P 1,783 / MA 1,674 | MOM | ILMN, MU, NFLX, STZ, META, DAL, TMUS | +9.0% | 34.08x |
| 2014-02-28 | S&P 1,859 / MA 1,697 | MOM | ILMN, MU, META, DAL, WYNN, NFLX, LUV | -3.5% | 32.87x |
| 2014-03-31 | S&P 1,872 / MA 1,723 | MOM | ILMN, MU, DAL, NXPI, META, TMUS, LUV | -0.9% | 32.57x |
| 2014-04-30 | S&P 1,884 / MA 1,747 | MOM | FRX1, MU, JAZZ, NXPI, DAL, ILMN, AVGO | +7.6% | 35.06x |
| 2014-05-30 | S&P 1,924 / MA 1,768 | MOM | FRX1, META, ILMN, MU, DAL, AVGO, NXPI | +8.6% | 38.08x |
| 2014-06-30 | S&P 1,960 / MA 1,795 | MOM | SHPG, FRX1, ILMN, META, MU, NXPI, LUV | -2.3% | 37.21x |
| 2014-07-31 | S&P 1,931 / MA 1,821 | MOM | SHPG, MU, LUV, LVLT, WFTIQ, AGN1, XEC | +4.3% | 38.80x |
| 2014-08-29 | S&P 2,003 / MA 1,846 | MOM | LUV, MU, SHPG, AVGO, WLK, ILMN, ET | -1.9% | 38.05x |
| 2014-09-30 | S&P 1,972 / MA 1,872 | MOM | SHPG, LUV, AGN1, AVGO, MU, ET, GILD | -0.8% | 37.74x |
| 2014-10-31 | S&P 2,018 / MA 1,891 | MOM | GMCR, LUV, ILMN, AVGO, MNST, AGN1, MU | +4.6% | 39.47x |
| 2014-11-28 | S&P 2,068 / MA 1,911 | MOM | LUV, MNST, AGN1, AVGO, GMCR, EA, UAA | +1.9% | 40.22x |
| 2014-12-31 | S&P 2,059 / MA 1,932 | MOM | LUV, UAL, EW, EA, AVGO, RCL, AGN1 | +2.9% | 41.38x |
| 2015-01-30 | S&P 1,995 / MA 1,949 | MOM | SWKS, LUV, EA, MNST, AVGO, KR, EW | +10.2% | 45.59x |
| 2015-02-27 | S&P 2,104 / MA 1,969 | MOM | SWKS, AVGO, MNST, EA, EW, LUV, PCYC | +2.5% | 46.73x |
| 2015-03-31 | S&P 2,068 / MA 1,988 | MOM | PCYC, SWKS, EA, MNST, AVGO, EW, KR | -1.8% | 45.89x |
| 2015-04-30 | S&P 2,086 / MA 2,007 | MOM | PCYC, SWKS, FSL, EA, HSP, MNST, BHC | +4.3% | 47.86x |
| 2015-05-29 | S&P 2,107 / MA 2,024 | MOM | SWKS, FSL, AVGO, BHC, HUM, NFLX, HSP | -4.8% | 45.58x |
| 2015-06-30 | S&P 2,063 / MA 2,038 | MOM | SWKS, NFLX, BHC, CI, FSL, EA, INCY | +2.2% | 46.56x |
| 2015-07-31 | S&P 2,104 / MA 2,049 | MOM | BHC, MNST, NFLX, INCY, EA, NCLH, FSL | -7.9% | 42.87x |
| 2015-08-31 | S&P 1,972 / MA 2,055 | CASH | Cash | -0.1% | 42.81x |
| 2015-09-30 | S&P 1,920 / MA 2,051 | CASH | Cash | +0.0% | 42.81x |
| 2015-10-30 | S&P 2,079 / MA 2,058 | MOM | AMZN, NFLX, ATVI, EXPE, EA, INCY, COTY | +1.4% | 43.42x |
| 2015-11-30 | S&P 2,080 / MA 2,061 | MOM | NFLX, AMZN, ATVI, NVDA, ANDV, HRL, GOOGL | -4.5% | 41.48x |
| 2015-12-31 | S&P 2,044 / MA 2,061 | CASH | Cash | -0.1% | 41.42x |
| 2016-01-29 | S&P 1,940 / MA 2,053 | CASH | Cash | +0.0% | 41.42x |
| 2016-02-29 | S&P 1,932 / MA 2,038 | CASH | Cash | +0.0% | 41.42x |
| 2016-03-31 | S&P 2,060 / MA 2,034 | MOM | TSN, NVDA, HRL, NEM, DLR, KLAC, EQIX | +1.6% | 42.07x |
| 2016-04-29 | S&P 2,065 / MA 2,032 | MOM | NEM, TSN, EW, ARG, NVDA, DLR, CPB | +3.3% | 43.44x |
| 2016-05-31 | S&P 2,097 / MA 2,028 | MOM | NVDA, NEM, ULTA, DLR, TSN, AMZN, AWK | +8.0% | 46.93x |
| 2016-06-30 | S&P 2,099 / MA 2,027 | MOM | NEM, NVDA, AWK, DLR, O, EQIX, ULTA | +5.1% | 49.33x |
| 2016-07-29 | S&P 2,174 / MA 2,031 | MOM | NVDA, NEM, S2, TSN, AMAT, DLR, ULTA | +1.0% | 49.81x |
| 2016-08-31 | S&P 2,171 / MA 2,045 | MOM | NVDA, NEM, AMAT, ET, ULTA, EW, GEN | +0.2% | 49.90x |
| 2016-09-30 | S&P 2,168 / MA 2,063 | MOM | NVDA, NEM, S2, AMAT, ET, SE1, AMZN | -4.2% | 47.81x |
| 2016-10-31 | S&P 2,126 / MA 2,071 | MOM | NVDA, AMAT, GEN, NEM, S2, SE1, LLTC | +5.6% | 50.46x |
| 2016-11-30 | S&P 2,199 / MA 2,078 | MOM | NVDA, S2, AMAT, GEN, BBY, SE1, PAA | +4.4% | 52.70x |
| 2016-12-30 | S&P 2,239 / MA 2,095 | MOM | NVDA, S2, MU, RF, CFG, AMAT, KEY | +5.3% | 55.48x |
| 2017-01-31 | S&P 2,279 / MA 2,125 | MOM | NVDA, S2, MU, CSX, ET, RF, WDC | +1.1% | 56.11x |
| 2017-02-28 | S&P 2,364 / MA 2,156 | MOM | NVDA, S2, ET, CSX, RF, MU, BAC | +0.2% | 56.22x |
| 2017-03-31 | S&P 2,363 / MA 2,187 | MOM | NVDA, ET, MU, S2, CSX, RF, OKS | +0.2% | 56.35x |
| 2017-04-28 | S&P 2,384 / MA 2,209 | MOM | NVDA, MU, S2, IDXX, WDC, CSX, AMAT | +8.8% | 61.32x |
| 2017-05-31 | S&P 2,412 / MA 2,238 | MOM | NVDA, MU, CSX, WDC, LRCX, AMAT, IDXX | -6.0% | 57.61x |
| 2017-06-30 | S&P 2,423 / MA 2,268 | MOM | NVDA, CSX, MU, BBY, WDC, VRTX, IDXX | +3.1% | 59.40x |
| 2017-07-31 | S&P 2,470 / MA 2,292 | MOM | NVDA, ALGN, ANET, VRTX, BA, NFLX, MU | +6.5% | 63.24x |
| 2017-08-31 | S&P 2,472 / MA 2,318 | MOM | NVDA, ANET, ALGN, VRTX, BA, LRCX, MU | +7.6% | 68.03x |
| 2017-09-29 | S&P 2,519 / MA 2,345 | MOM | NVDA, ANET, ALGN, MU, LRCX, BA, VRTX | +8.5% | 73.82x |
| 2017-10-31 | S&P 2,575 / MA 2,382 | MOM | NVDA, ALGN, MU, ANET, LRCX, AMAT, FMC | +0.3% | 74.03x |
| 2017-11-30 | S&P 2,648 / MA 2,417 | MOM | ALGN, ANET, NVDA, MU, DHI, BA, PYPL | +0.4% | 74.30x |
| 2017-12-29 | S&P 2,674 / MA 2,450 | MOM | ANET, ALGN, BA, DHI, WYNN, CAT, MU | +7.4% | 79.80x |
| 2018-01-31 | S&P 2,824 / MA 2,493 | MOM | ANET, ALGN, TTWO, NVDA, BA, IPGP, PYPL | -4.3% | 76.37x |
| 2018-02-28 | S&P 2,714 / MA 2,521 | MOM | ALGN, NVDA, ANET, NFLX, MU, BA, BF.B | -2.6% | 74.38x |
| 2018-03-29 | S&P 2,641 / MA 2,549 | MOM | NFLX, ALGN, NVDA, MTCH, ANET, MU, IPGP | +1.1% | 75.22x |
| 2018-04-30 | S&P 2,648 / MA 2,574 | MOM | ABMD, NFLX, XPO, TWTR, NVDA, AMZN, CLR | +13.4% | 85.33x |
| 2018-05-31 | S&P 2,705 / MA 2,600 | MOM | ABMD, NFLX, ALGN, VLO, TWTR, MTCH2, XPO | +2.2% | 87.25x |
| 2018-06-29 | S&P 2,718 / MA 2,627 | MOM | ABMD, NFLX, TWTR, ALGN, MTCH2, NTAP, KSS | -8.6% | 79.75x |
| 2018-07-31 | S&P 2,816 / MA 2,655 | MOM | DINO, ABMD, LULU, ALGN, GWW, TWTR, ILMN | +11.2% | 88.71x |
| 2018-08-31 | S&P 2,902 / MA 2,692 | MOM | LULU, ABMD, DINO, AMD, ALGN, NTAP, GWW | +1.9% | 90.41x |
| 2018-09-28 | S&P 2,914 / MA 2,723 | MOM | AMD, LULU, ABMD, MTCH2, ALGN, AMZN, VEEV | -19.7% | 72.59x |
| 2018-10-31 | S&P 2,712 / MA 2,744 | CASH | Cash | -0.1% | 72.49x |
| 2018-11-30 | S&P 2,760 / MA 2,754 | MOM | AMD, AAP, HCA, WBD, LULU, KDP, MKC | -12.0% | 63.80x |
| 2018-12-31 | S&P 2,507 / MA 2,746 | CASH | Cash | -0.1% | 63.71x |
| 2019-01-31 | S&P 2,704 / MA 2,731 | CASH | Cash | +0.0% | 63.71x |
| 2019-02-28 | S&P 2,784 / MA 2,735 | MOM | DXCM, XLNX, CMG, VEEV, VMW, LULU, LLY | +2.2% | 65.11x |
| 2019-03-29 | S&P 2,834 / MA 2,744 | MOM | CMG, XLNX, AMD, VMW, CDNS, AES, VEEV | +1.2% | 65.92x |
| 2019-04-30 | S&P 2,946 / MA 2,765 | MOM | AMD, VEEV, VMW, XLNX, PAYC, NOW, CMG | -5.0% | 62.61x |
| 2019-05-31 | S&P 2,752 / MA 2,778 | CASH | Cash | -0.1% | 62.52x |
| 2019-06-28 | S&P 2,942 / MA 2,788 | MOM | PAYC, VEEV, AMD, HEI, BALL, MTCH2, CMG | +4.2% | 65.15x |
| 2019-07-31 | S&P 2,980 / MA 2,806 | MOM | PAYC, VEEV, MTCH2, HEI, MKTX, BALL, SBUX | +5.6% | 68.82x |
| 2019-08-30 | S&P 2,926 / MA 2,810 | MOM | MKTX, BALL, MTCH2, SBUX, HEI, SBAC, HSY | -11.8% | 60.71x |
| 2019-09-30 | S&P 2,977 / MA 2,816 | MOM | MKTX, CMG, KLAC, HSY, CINF, BALL, OPTU | +1.4% | 61.58x |
| 2019-10-31 | S&P 3,038 / MA 2,834 | MOM | LRCX, OPTU, KLAC, AMD, BX, MKTX, EW | -1.4% | 60.74x |
| 2019-11-29 | S&P 3,141 / MA 2,865 | MOM | PAYC, LRCX, KLAC, TGT, TTD, MKTX, AMD | +10.1% | 66.89x |
| 2019-12-31 | S&P 3,231 / MA 2,917 | MOM | AMD, LRCX, KLAC, TGT, SWKS, AAPL, TTD | -2.6% | 65.13x |
| 2020-01-31 | S&P 3,226 / MA 2,971 | MOM | AMD, PAYC, AAPL, TDG, CPRT, LRCX, BX | -7.2% | 60.44x |
| 2020-02-28 | S&P 2,954 / MA 3,010 | CASH | Cash | -0.1% | 60.36x |
| 2020-03-31 | S&P 2,585 / MA 2,996 | CASH | Cash | +0.0% | 60.36x |
| 2020-04-30 | S&P 2,912 / MA 2,984 | CASH | Cash | +0.0% | 60.36x |
| 2020-05-29 | S&P 3,044 / MA 2,990 | MOM | DXCM, ZM, NVDA, REGN, GEN, NEM, WST | +5.9% | 63.90x |
| 2020-06-30 | S&P 3,100 / MA 3,007 | MOM | TSLA, ZM, DXCM, NVDA, REGN, TTD, WST | +14.7% | 73.28x |
| 2020-07-31 | S&P 3,271 / MA 3,027 | MOM | TSLA, ZM, DXCM, NVDA, AMD, REGN, WST | +23.3% | 90.34x |
| 2020-08-31 | S&P 3,500 / MA 3,068 | MOM | TSLA, ZM, NVDA, AMD, XYZ, AAPL, DXCM | -3.4% | 87.28x |
| 2020-09-30 | S&P 3,363 / MA 3,101 | MOM | TSLA, ZM, XYZ, QDEL, TTD, NVDA, AMD | -4.8% | 83.08x |
| 2020-10-30 | S&P 3,270 / MA 3,138 | MOM | ZM, TSLA, QDEL, SEDG, XYZ, TTD, DDOG | +16.0% | 96.39x |
| 2020-11-30 | S&P 3,622 / MA 3,173 | MOM | TSLA, ZM, TTD, ETSY, XYZ, SEDG, FCX | +6.9% | 103.08x |
| 2020-12-31 | S&P 3,756 / MA 3,218 | MOM | TSLA, ENPH, ZM, ETSY, SEDG, XYZ, NVCR | +6.4% | 109.71x |
| 2021-01-29 | S&P 3,714 / MA 3,256 | MOM | TSLA, ENPH, PTON, ZM, RUN, ETSY, TTD | -0.3% | 109.37x |
| 2021-02-26 | S&P 3,811 / MA 3,303 | MOM | TSLA, PTON, ENPH, FCX, ETSY, PSKY, TTD | -14.7% | 93.33x |
| 2021-03-31 | S&P 3,973 / MA 3,422 | MOM | TSLA, BBWI, ENPH, FCX, ETSY, RUN, XYZ | -1.5% | 91.92x |
| 2021-04-30 | S&P 4,181 / MA 3,535 | MOM | BBWI, FCX, TSLA, IVZ, XYZ, ALLY, LAD | +0.2% | 92.07x |
| 2021-05-28 | S&P 4,204 / MA 3,633 | MOM | FCX, BBWI, IVZ, ALLY, TSLA, NVCR, MOS | -5.2% | 87.30x |
| 2021-06-30 | S&P 4,298 / MA 3,732 | MOM | BBWI, GNRC, NVCR, ENPH, FCX, CLR, NUE | -3.8% | 83.96x |
| 2021-07-30 | S&P 4,395 / MA 3,828 | MOM | MRNA, BBWI, NUE, TPL, GNRC, TPR, SC | +3.9% | 87.23x |
| 2021-08-31 | S&P 4,523 / MA 3,920 | MOM | MRNA, NUE, BBWI, BX, ALB, FTNT, SC | -7.4% | 80.79x |
| 2021-09-30 | S&P 4,308 / MA 4,012 | MOM | MRNA, CLR, CLF, IT, FTNT, SIVBQ, ACI | +7.7% | 87.05x |
| 2021-10-29 | S&P 4,605 / MA 4,100 | MOM | DVN, MRNA, CLR, FTNT, IT, BX, TSLA | -6.7% | 81.24x |
| 2021-11-30 | S&P 4,567 / MA 4,192 | MOM | DVN, NVDA, FTNT, CLR, MRNA, ACI, BX | -2.9% | 78.92x |
| 2021-12-31 | S&P 4,766 / MA 4,278 | MOM | UPST, DVN, CLR, FTNT, ON, F, NVDA | -4.6% | 75.30x |
| 2022-01-31 | S&P 4,516 / MA 4,339 | MOM | CAR, DVN, MRO, CLR, APA, EOG, FANG | +6.4% | 80.09x |
| 2022-02-28 | S&P 4,374 / MA 4,381 | CASH | Cash | -0.1% | 79.98x |
| 2022-03-31 | S&P 4,530 / MA 4,423 | MOM | CAR, DVN, CF, APA, MOS, MRO, OXY | -1.7% | 78.66x |
| 2022-04-29 | S&P 4,132 / MA 4,441 | CASH | Cash | -0.1% | 78.55x |
| 2022-05-31 | S&P 4,132 / MA 4,430 | CASH | Cash | +0.0% | 78.55x |
| 2022-06-30 | S&P 3,785 / MA 4,401 | CASH | Cash | +0.0% | 78.55x |
| 2022-07-29 | S&P 4,130 / MA 4,364 | CASH | Cash | +0.0% | 78.55x |
| 2022-08-31 | S&P 3,955 / MA 4,336 | CASH | Cash | +0.0% | 78.55x |
| 2022-09-30 | S&P 3,586 / MA 4,288 | CASH | Cash | +0.0% | 78.55x |
| 2022-10-31 | S&P 3,872 / MA 4,224 | CASH | Cash | +0.0% | 78.55x |
| 2022-11-30 | S&P 4,080 / MA 4,161 | CASH | Cash | +0.0% | 78.55x |
| 2022-12-30 | S&P 3,840 / MA 4,096 | CASH | Cash | +0.0% | 78.55x |
| 2023-01-31 | S&P 4,077 / MA 4,048 | MOM | FSLR, STLD, MPC, AXON, VLO, TPL, HES | +2.6% | 80.61x |
| 2023-02-28 | S&P 3,970 / MA 4,022 | CASH | Cash | -0.1% | 80.50x |
| 2023-03-31 | S&P 4,109 / MA 3,982 | MOM | FSLR, AXON, NVDA, FICO, LW, MPC, STLD | -2.5% | 78.48x |
| 2023-04-28 | S&P 4,170 / MA 3,962 | MOM | FSLR, WYNN, NVDA, LVS, FICO, AXON, PHM | +2.8% | 80.65x |
| 2023-05-31 | S&P 4,180 / MA 3,971 | MOM | NVDA, FSLR, META, BLDR, NFLX, FCNCA, FICO | +4.5% | 84.31x |
| 2023-06-30 | S&P 4,450 / MA 4,010 | MOM | NVDA, BLDR, META, FSLR, NFLX, GE, PHM | +7.0% | 90.24x |
| 2023-07-31 | S&P 4,589 / MA 4,056 | MOM | NVDA, RCL, META, BLDR, FCNCA, TTD, PHM | -4.2% | 86.45x |
| 2023-08-31 | S&P 4,508 / MA 4,084 | MOM | NVDA, BLDR, RCL, FCNCA, LLY, META, PHM | -6.4% | 80.92x |
| 2023-09-29 | S&P 4,288 / MA 4,129 | MOM | NVDA, DELL, JBL, BLDR, META, SAIA, RCL | -3.1% | 78.39x |
| 2023-10-31 | S&P 4,194 / MA 4,177 | MOM | SMCI, VRT, NVDA, APP, META, SPLK, JBL | +4.9% | 82.21x |
| 2023-11-30 | S&P 4,568 / MA 4,221 | MOM | VRT, APP, META, SMCI, NVDA, UBER, DELL | +3.4% | 84.97x |
| 2023-12-29 | S&P 4,770 / MA 4,284 | MOM | VRT, APP, NVDA, SMCI, META, RCL, UBER | +29.3% | 109.86x |
| 2024-01-31 | S&P 4,846 / MA 4,354 | MOM | SMCI, VRT, APP, CRWD, NVDA, META, AMD | +29.6% | 142.42x |
| 2024-02-29 | S&P 5,096 / MA 4,430 | MOM | SMCI, VRT, APP, NVDA, CRWD, PLTR, META | +5.8% | 150.63x |
| 2024-03-28 | S&P 5,254 / MA 4,526 | MOM | SMCI, VRT, APP, NVDA, VST, WSM, DELL | -4.1% | 144.42x |
| 2024-04-30 | S&P 5,036 / MA 4,613 | MOM | CVNA, SMCI, VRT, COIN, APP, VST, NVDA | +16.4% | 168.11x |
| 2024-05-31 | S&P 5,278 / MA 4,708 | MOM | CVNA, VRT, VST, SMCI, COIN, APP, NVDA | +3.8% | 174.52x |
| 2024-06-28 | S&P 5,460 / MA 4,789 | MOM | CVNA, SMCI, VST, NVDA, VRT, APP, DELL | -10.6% | 155.94x |
| 2024-07-31 | S&P 5,522 / MA 4,879 | MOM | CVNA, VST, VRT, NVDA, APP, COIN, WSM | -2.0% | 152.79x |
| 2024-08-30 | S&P 5,648 / MA 4,970 | MOM | CVNA, CAVA, VST, NVDA, THC, NRG, GDDY | +16.3% | 177.65x |
| 2024-09-30 | S&P 5,762 / MA 5,068 | MOM | CVNA, CAVA, VST, APP, NVDA, THC, PLTR | +12.4% | 199.66x |
| 2024-10-31 | S&P 5,706 / MA 5,208 | MOM | CVNA, APP, CAVA, VST, FTAI, NVDA, COHR | +26.8% | 253.08x |
| 2024-11-29 | S&P 6,032 / MA 5,323 | MOM | APP, CVNA, PLTR, VST, FTAI, HOOD, CAVA | -5.4% | 239.37x |
| 2024-12-31 | S&P 5,882 / MA 5,434 | MOM | APP, PLTR, CVNA, VST, UI, HOOD, FTAI | +11.8% | 267.66x |
| 2025-01-31 | S&P 6,040 / MA 5,527 | MOM | APP, PLTR, CVNA, HOOD, VST, UI, UAL | -12.5% | 234.07x |
| 2025-02-28 | S&P 5,954 / MA 5,604 | MOM | APP, PLTR, HOOD, UI, TPL, CVNA, UAL | -8.5% | 214.25x |
| 2025-03-31 | S&P 5,612 / MA 5,647 | CASH | Cash | -0.1% | 213.95x |
| 2025-04-30 | S&P 5,569 / MA 5,669 | CASH | Cash | +0.0% | 213.95x |
| 2025-05-30 | S&P 5,912 / MA 5,718 | MOM | PLTR, APP, HOOD, HIMS, CVNA, DUOL, GEV | -2.2% | 209.34x |
| 2025-06-30 | S&P 6,205 / MA 5,768 | MOM | PLTR, HOOD, APP, GEV, CVNA, AXON, HIMS | +14.8% | 240.27x |
| 2025-07-31 | S&P 6,339 / MA 5,834 | MOM | PLTR, HOOD, APP, GEV, TLN, CVNA, SOFI | +4.9% | 251.95x |
| 2025-08-29 | S&P 6,460 / MA 5,913 | MOM | HOOD, PLTR, APP, ALAB, RDDT, GEV, SOFI | +16.2% | 292.72x |
| 2025-09-30 | S&P 6,688 / MA 5,994 | MOM | HOOD, APP, CRDO, PLTR, ALAB, SOFI, RDDT | +7.2% | 313.88x |
| 2025-10-31 | S&P 6,840 / MA 6,081 | MOM | CRDO, HOOD, WDC, PLTR, APP, WBD, CIEN | -3.7% | 302.30x |
| 2025-11-28 | S&P 6,849 / MA 6,143 | MOM | CRDO, WDC, CIEN, HOOD, STX, MU, WBD | +10.2% | 333.23x |
| 2025-12-31 | S&P 6,846 / MA 6,217 | MOM | BE, WDC, CIEN, MU, FNMA, WBD, CDE | +19.8% | 399.21x |
| 2026-01-30 | S&P 6,939 / MA 6,293 | MOM | BE, WDC, MU, STX, CIEN, LRCX, CDE | +7.1% | 427.44x |
| 2026-02-27 | S&P 6,879 / MA 6,358 | MOM | BE, WDC, CIEN, MU, CDE, STX, COHR | -5.4% | 404.28x |
| 2026-03-31 | S&P 6,528 / MA 6,443 | MOM | WDC, CIEN, BE, STX, FIX, MU, COHR | +53.7% | 621.36x |