Chase Last Year's Winners
MomentumOn the first trading day of each January, buy the 10 S&P 500 stocks with the highest total return during the prior calendar year, equal weighted. Hold for the year, then rebalance.
See this in the terminal — live earnings bands, fair value and rates.
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Chasing last year's hot stocks feels smart. The math says it wasn't.
The rule. On the first trading day of each January, buy the 10 S&P 500 stocks with the highest total return during the prior calendar year, equal weighted. Hold for the year, then rebalance.
What actually happened.
- $10,000 became $17,078. The same $10,000 in S&P 500 (SPY) became $84,528. This strategy trailed the benchmark by $67,451.
- Compounded at 3.6% a year vs 15.3% for the benchmark.
- Best year: 2013 (+37%). Worst year: 2011 (-3%). This is not a smooth ride.
The catch. At its worst, this strategy fell -15% from a prior peak — shallower than the benchmark's -34%. Would you have held through that? Most people don't. That's the whole game.
The takeaway. The lesson isn't "this idea is stupid." It's that the simple, boring benchmark is harder to beat than the pitch decks admit. Before you try to be clever, respect the index.
Drawdown from prior peak
Calendar-year returns
| Line | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | 26 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Last year's 10 winners | -3% | +14% | +37% | +13% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% |
| S&P 500 (SPY) | +8% | +16% | +32% | +13% | +1% | +12% | +22% | -5% | +31% | +18% | +29% | -18% | +26% | +25% | +18% | +13% |
Includes stocks later dropped from the S&P 500 where price history exists (135 of 345). The rest are missing, which can flatter momentum-style ideas. How we test
Rebalance: annual (first trading day of January), equal weight · Window: 2011-09-02 → 2026-09-02 · Last run Sep 2, 2026 · JSON