Price & Market BehaviorExtended setlive in productionNew

cross-sectional small-cap momentum

Updated dailyData needs: lowlong onlylong short

1993

Jegadeesh, N. & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91.

Citation only, paper link pending.

In plain terms

Buy the stocks that have been the strongest performers over the past year and (optionally) short the weakest, picked relative to all other stocks.

How it works

Takes the standard Jegadeesh-Titman 12-1 momentum signal (return from t-252 to t-21, skipping the most recent month) and ranks it cross-sectionally each day across the whole universe. Built as the dense cross-sectional template so it clears the too_few_trades gate that starves per-ticker momentum on illiquid small caps.

Live results

0 times picked on its own · 23 times inside a blend (4 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 23 such blended picks (4 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Xsec reversal rank
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Relative winners keep outperforming relative losers, and a dense cross-sectional construction lets that edge survive the trade-count gate on small caps.

Related families

cross-sectional small-cap short-term reversalPrice & Market Behavior

Buy stocks that just underperformed everything else, betting they snap back over the next few days to weeks.

cross-sectional small-cap multifactor blendPrice & Market Behavior

Favor stocks that are both strong performers and low-volatility, combining two complementary ways of picking winners to smooth out the ride.

Explore cross-sectional small-cap momentum on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

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