Do momentum winners keep winning?
No. Since 1995, US stocks up 30 percent or more in three months beat the same day's median stock over the next month 50 times in 100; a coin flip gives 50. Ranked by three-month return, the top fifth beat it 49 times in 100, the bottom fifth 50. The only proven reading runs against the belief, narrowly: over the next session the winners beat it 48.8 times in 100.
The paper
The full study: its data, method, robustness, limits and sources.
Opulence Alpha Research · Published Sep 25, 2026 · Data through Aug 21, 2026
Keywords: momentum investing, momentum stocks, does momentum investing work, price momentum, momentum strategy backtest, the trend is your friend·JEL classification: G11, G12, G14, C12, C58
- Universe
- The same for every study: 1,767 US common stocks in the 11 GICS sectors, 422 of them since delisted; S&P 500 members since 1996 plus large and mid-sized companies outside the index
- Period
- Every Wednesday from Jan 4, 1995 to Aug 19, 2026: 1,634 Wednesdays across 7,959 trading sessions
- Sample
- n = 1,763 stocks of the 1,767-stock universe; 1,889,758 stock-weeks, a median of 1,148 stocks per Wednesday
- Outcome
- Return over the next 1, 5, 21 and 63 trading sessions against the same day's median stock
- Inference
- t on non-overlapping dates; proven only when |t| ≥ 3 and the same sign in at least 60% of years
1Introduction
Few trading ideas are repeated as often as momentum: the stocks that have risen the most will keep rising, so the trend is your friend. Academic work has documented momentum in stock returns ranked over the past six to twelve months (Carhart 1997; Hong, Lim and Stein 2000; Jegadeesh and Titman 2001), while traders more often screen for a shorter, sharper run. This study asks whether stocks up 30 percent or more over the past three months, and the top fifth of stocks ranked on that return, go on to beat other stocks.
2Data and method
2.1Sample design
Population and frame. The population is US common stocks listed on the NYSE and Nasdaq; funds, ETFs, trusts, preferred shares, warrants and units are excluded. The sampling frame is a fixed universe of 1,767 companies, drawn once when the platform was built and not re-sampled since, in two strata. Stratum 1 is a census of the S&P 500: every company in the index at any time since 1996 whose price history could be recovered, 1,027 companies of which 413 have since delisted; it holds 76% of the index's members in 1996 and at least 96% in every year from 2010. Stratum 2 is 740 large and mid-sized companies outside the index, selected in proportion to the market's sector weights from the stocks that passed a minimum share price of $15 and a minimum average daily trading value of $25 million; 9 of them have since delisted.
Sample. The unit of observation is a stock-week: one stock on one Wednesday. A stock enters a Wednesday's cross-section when it has a valid close that day, a value of the signal and a measured outcome; bars flagged as bad data and returns that cross a change of issuer are left out. This study's sample is n = 1,763 stocks of the 1,767: 1,889,758 stock-weeks on 1,634 Wednesdays from Jan 4, 1995 to Aug 19, 2026, a median of 1,148 stocks per Wednesday (range 820 to 1,371). 331,954 stock-weeks (17.6%) come from the 422 companies that have since delisted. Every stock and every Wednesday carries equal weight.
Representativeness. Table 1 gives the sample by GICS sector beside the S&P Composite 1500: 7.9% of companies would have to change sector for the two to match exactly. By latest market value, 55% of the active companies are large (at least $10bn), 38% mid ($2–10bn) and 6% small. Because Stratum 2 was chosen from companies listed at construction, its history carries survivorship bias. Section 4 repeats the lead result among the stocks that were S&P 500 members on each date, the part of the sample largely free of that bias.
Companies in this study's sample, of them those since delisted, the size of the active companies, the sample's share of stock-weeks and the sector's share of the S&P Composite 1500.
| Sector | Sample | Delisted | Large | Mid | Small | Stock-weeks | S&P 1500 |
|---|---|---|---|---|---|---|---|
| Information Technology | 282 | 67 | 122 | 76 | 18 | 13.9% | 12.7% |
| Financials | 256 | 60 | 114 | 74 | 8 | 14.6% | 17.2% |
| Industrials | 255 | 53 | 126 | 67 | 11 | 15.9% | 17.5% |
| Health Care | 237 | 47 | 92 | 81 | 16 | 12.4% | 10.9% |
| Consumer Discretionary | 209 | 39 | 69 | 87 | 12 | 12.3% | 12.9% |
| Energy | 105 | 30 | 39 | 31 | 5 | 5.9% | 4.7% |
| Consumer Staples | 101 | 38 | 40 | 17 | 5 | 5.9% | 4.9% |
| Materials | 94 | 34 | 35 | 24 | 2 | 5.6% | 5.1% |
| Real Estate | 84 | 10 | 40 | 32 | 2 | 5.7% | 6.9% |
| Communication Services | 80 | 31 | 28 | 13 | 5 | 3.9% | 3.3% |
| Utilities | 60 | 13 | 35 | 12 | 0 | 4% | 4% |
| All sectors | 1,763 | 422 | 740 | 514 | 84 | 100% | 100% |
Sample: n = 1,763 of the 1,767 companies. Size by latest market value for the 1,338 active companies with one: large ≥ $10bn, mid $2–10bn, small < $2bn. S&P 1500 shares count the constituents of the S&P 500, MidCap 400 and SmallCap 600 (1,506 companies, lists read Sep 25, 2026). Sectors are each company's current GICS sector.
2.2Signals
| Signal | Definition | Since | Wednesdays |
|---|---|---|---|
| Up 30% in three months | The stock's return over the last 63 sessions is 30% or more, counted on every Wednesday it holds | Jan 4, 1995 | 1,631 |
| Three-month return | The stock's price return over the last 63 sessions, ranked into fifths each Wednesday | Jan 4, 1995 | 1,634 |
2.3Measurement
Outcome. The return from the close on the Wednesday to the close 1, 5, 21 and 63 trading sessions later, on closes adjusted for splits and dividends, compared with the same day's median stock; half of all stocks beat the median by construction, so chance is 50 in 100 on every date. No delisting return is added.
Each Wednesday, the stocks showing the reading are scored against the same day's median stock. A state counts on every Wednesday it holds; a cross or breakout counts only on the Wednesday it happens.
Each Wednesday the stocks are ranked on the signal. The study reports how often each fifth of that ranking beat the median stock, and the rank correlation (IC) between the signal and the return that followed.
The t-statistic uses non-overlapping dates only. A result is called proven when |t| is at least 3, it held in at least 60% of years and it is large enough to matter; with 1,470 tests across the studies, a looser bar would pass dozens by luck.
Full data and methods3Results
Figure 1 reads every horizon for stocks up 30 percent or more over three months. They beat the median stock 48.8 times in 100 over the next session, a small but proven lag; 49.3 over the next week, a faint one; and 49.9 over the next month and 50.8 over the next three months, where there is no measurable edge. Out of every 100 such stocks, 50 beat the median stock over the following month (Figure 2).
Share of stocks showing the reading that beat the same day's median stock, by horizon. The line at 50 is chance, the grey band the range chance alone produces; a filled square is a proven relation.
Every Wednesday the stocks are cut into fifths on the signal, lowest to highest; bars show how often each fifth beat the same day's median stock over the next month. The dashed line is chance.
Next month.
Next week, three-session return against the industry; the same way in 32 of 32 years.
Rank correlation between the signal and the return that followed, with its 95% interval. An interval that crosses zero is no relation.
Each square is one calendar year; filled = a year in which the average stock showing the signal lagged the median stock over the next month. Years are counted, not shown in order.
A signal with an edge would fill most squares, or leave most empty.
Rank correlation inside each GICS sector over the next month, stocks ranked only against their own sector. Colour only where |t| ≥ 2.
Ranking every stock on its three-month return tells the same story (Figure 3). Over the next month the top fifth, the strongest recent performers, beat the median stock 49 times in 100, and the bottom fifth, the weakest, 50. The rank correlation between the three-month return and the next month's return was -0.007 (t -0.4), and Figure 4 shows it close to zero at every horizon.
4Robustness
Table 3 reads the 30 percent screen horizon by horizon: over the next month it lagged the median stock in 17 of 32 years, about half. Table 4 re-measures the rank correlation between the three-month return and the next month: -0.007 (t -0.4) over the whole sample and -0.014 (t -1.6) among S&P 500 members on the date, with a negative sign in 8 of 11 sectors and 2 of the three decades. The sign leans negative, but no subset clears the bar for an edge.
Share that beat the median stock, its t-statistic on non-overlapping dates, and the years in which it pointed the same way.
| Horizon | Beat the median | t | Years, same way |
|---|---|---|---|
| Up 30% in three months, session | 48.8 | -5.4 | 25 / 32 |
| Up 30% in three months, week | 49.3 | -2.2 | 23 / 32 |
| Up 30% in three months, month | 49.9 | -1.4 | 17 / 32 |
| Up 30% in three months, three months | 50.8 | -1.2 | 12 / 32 |
Rank IC and its t-statistic on non-overlapping dates.
| Sample | IC | t | Wednesdays |
|---|---|---|---|
| Three-month return, next month | |||
| All stocks, whole period | -0.0070 | -0.4 | 1,630 |
| By decade: 1995–2004 | -0.0214 | -1.5 | 516 |
| By decade: 2005–2014 | 0.0038 | 0.0 | 518 |
| By decade: 2015– | -0.0039 | -0.2 | 596 |
| S&P 500 members on the date | -0.0140 | -1.6 | 1,578 |
| Sectors with the overall sign | 8 / 11 |
5Limitations
- The signal is the past three months' return. The momentum studied in the academic literature usually ranks stocks on the past six to twelve months, often leaving out the latest month; this study does not test that version, and its result should not be read as a test of it.
- Before costs. Averages exclude trading costs, taxes and market impact.
- Same-close timing. Returns start at the close the signal is computed from; a real trade would start later.
- Survivors among smaller companies. The non-index names were chosen from companies listed when the universe was built; no delisting returns are added.
6Conclusion
A strong three-month run describes a move that has already happened. Measured against the same day's median stock, stocks up 30 percent or more did not go on to beat other stocks by a measurable margin over the next month or three months, and the fifth of stocks with the strongest recent return did no better than the fifth with the weakest. The only proven relation is brief and runs the other way: in the session after, the big winners lagged. Recent strength, on its own, is not a forecast.
References
- Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance 52(1).
- Hong, H., Lim, T. and Stein, J. C. (2000). Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies. Journal of Finance 55(1).
- Jegadeesh, N. and Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance 56(2).
- Benjamini, Y. and Hochberg, Y. (1995). Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing. Journal of the Royal Statistical Society, Series B 57(1).
- Grinold, R. C. and Kahn, R. N. (2000). Active Portfolio Management, 2nd ed. McGraw-Hill.
- Harvey, C. R., Liu, Y. and Zhu, H. (2016). … and the Cross-Section of Expected Returns. Review of Financial Studies 29(1).
- Shumway, T. (1997). The Delisting Bias in CRSP Data. Journal of Finance 52(1).
Appendix A. Questions readers ask
- Does momentum investing work?
- Not in the simple form tested here. Since 1995, US stocks up 30 percent or more over three months beat the same day's median stock over the next month 50 times in 100, against 50 for a coin flip, and the fifth of stocks with the strongest three-month return beat it 49 times in 100.
- Is the trend your friend?
- Not over the next month. The rank correlation between a stock's three-month return and its next month's return was -0.007, close to zero; it was below zero in 18 of 32 years and above zero in the rest, with no steady direction.
- Do stocks that have soared fall back?
- Against other stocks, only briefly and by a little. Over the next session, stocks up 30 percent or more in three months beat the median stock 49 times in 100, a small but proven lag. Over the next month and three months there is no measurable edge either way.
- How was momentum measured?
- Every Wednesday from Jan 4, 1995 to Aug 19, 2026, stocks up 30 percent or more over the previous 63 trading sessions were compared with the same day's median stock over the next 1, 5, 21 and 63 sessions, and all stocks were ranked into fifths on that return, on the same universe of 1,767 US stocks every study uses.
Data availability and citation
Every figure in this paper is quoted from one frozen snapshot, published as JSON with the sample description, the robustness results and the test counts. The same snapshot feeds the research console, so the two cannot disagree.
Opulence Alpha Research (2026). Do momentum winners keep winning? Opulence Alpha Studies, Sep 25, 2026. https://opulencealpha.ai/studies/momentum-winners
Research, not advice. A measured tendency across hundreds of stocks is a nudge for any one of them, never a forecast of its price.