Economy & PolicyExtended setexperimental liveNew

Sector Momentum Orthogonal

Updated dailyData needs: lowlong onlyshort only

1999

Grinblatt, M. & Moskowitz, T. J. (1999). "Do Industries Explain Momentum?" Journal of Finance 54(4), 1559-1599.

In plain terms

If a stock has beaten the market by a lot over the past 6 months, it tends to keep winning; if it's been losing badly, it tends to keep losing — long the leaders, short the laggards.

How it works

Industry/sector momentum after orthogonalizing to market return — long top-quintile sector relative-strength, short bottom-quintile. Captures slow-diffusion industry-level news the cross-section can't.

Live results

6 times picked on its own · 45 times inside a blend (21 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 45 such blended picks (21 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)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~0.7-1.0%/month long-short
Tested over: 21/63/126 trading days

Grinblatt-Moskowitz 1999; ~0.7-1.0% per month long-short.

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Explore Sector Momentum Orthogonal on alphactor.ai

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

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