Price & Market BehaviorExtended setexperimental liveNew

Sector Rs Leader Follower

Updated dailyData needs: lowlong onlylong short

1999

Moskowitz-Grinblatt 1999 JF -- Do Industries Explain Momentum?

In plain terms

Stocks in sectors with the strongest relative strength versus the S&P 500 tend to outperform those in the weakest sectors over the next 1-3 months.

How it works

Sector relative strength against SPY predicts individual stock momentum within the sector. Leaders (top 2 sectors by 13-week RS) carry their constituents upward; laggards drag theirs down. The leader-follower dynamic persists for 4-12 weeks.

Live results

0 times picked on its own · 383 times inside a blend (317 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 383 such blended picks (317 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.
Sector ETF prices
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~1-3% per month in top sector decile
Tested over: 1963-1995 (Moskowitz-Grinblatt)

Industry momentum explains ~50% of individual stock momentum; sector RS signal earns 1-3% per month in top decile.

Related families

Sector Spy ConditionalPrice & Market Behavior

Whether the market overall is trending up or down conditions how strongly sector leadership translates into individual stock performance.

ETF Ownership CrowdingPrice & Market Behavior

Stocks with disproportionately high ETF ownership experience predictable price dislocations when ETFs rebalance, creating short-term mean-reversion opportunities.

Explore Sector Rs Leader Follower on alphactor.ai

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