No. of Recommendations: 12
Mr. Mussell wrote:
A study of the detriments/benefits of the screen where you buy the top 10 or 5 or 1 1-year momentum Nasdaq100 stock(s) and hold for a month, then repeat.Interesting study. Simple momentum!
I attempted to validate the results in my own software and this is what I came up with. It is easier on the eyes to just see it in color.
https://www.zeelotes.org/NDX100_Momentum.PNGI'm curious about your NDX100 returns and max drawdown. The return in 2025 is 22.05%. The max drop in the year was from 2/19/2025 to 4/7/2025 with a drop of -25.56%. So where do you come up with 15.84% and -14.12%?
Index Hold 1 Hold 5 Hold 10
CAGR % 9.45% 44.51% 30.36% 24.98%
DDD3 15.39% 11.89% 9.91%
Fall Mths 17 21 29 18
Recover Mths 48 28 41 50
Turnover 40.65% 26.91% 22.14%
Max DD -53.78% -84.03% -72.40% -64.76%
GSD 19.5 80.78 42.77 36.18
Sharpe 0.39 0.85 0.82 0.76
Years ROI ROI ROI ROI
1985 23.61% 213.20% 37.91% 22.33%
1986 6.89% -18.57% 23.79% 17.29%
1987 10.50% 134.80% 75.27% 33.97%
1988 13.54% 92.23% 1.66% 22.49%
1989 26.17% 64.38% 52.55% 45.17%
1990 -10.41% -10.48% 40.25% 21.65%
1991 64.99% 210.90% 104.43% 99.55%
1992 8.86% 32.67% 60.64% 32.51%
1993 10.58% 179.55% 88.44% 53.24%
1994 1.50% 2.80% -11.25% -10.97%
1995 42.54% 65.91% 19.66% 51.41%
1996 42.54% 89.34% 40.30% 35.13%
1997 20.63% 161.47% 43.06% 25.48%
1998 85.30% 579.04% 59.00% 52.83%
1999 101.95% 424.36% 297.41% 190.95%
2000 -36.84% -30.78% -24.46% -5.03%
2001 -32.65% 21.58% -15.04% -12.88%
2002 -37.58% -22.86% -18.98% -11.66%
2003 49.12% 37.32% 85.87% 60.26%
2004 10.44% 142.19% 33.86% 42.65%
2005 1.49% -12.02% 15.74% -0.15%
2006 6.79% 4.13% 24.47% 27.69%
2007 18.67% 63.96% 52.02% 41.54%
2008 -41.89% -60.60% -46.48% -43.08%
2009 53.54% 8.48% 20.93% 31.16%
2010 19.22% -5.01% 52.85% 33.31%
2011 2.70% 30.01% 3.68% -1.89%
2012 16.82% 22.80% 15.78% 19.97%
2013 34.99% -5.55% 74.79% 58.06%
2014 17.94% 46.14% 54.76% 31.28%
2015 8.43% -29.88% 23.13% 11.44%
2016 5.89% 86.34% 32.35% 20.24%
2017 31.52% 82.06% 39.26% 34.83%
2018 -1.04% 9.50% -3.77% 2.66%
2019 37.96% 63.04% 32.47% 32.18%
2020 47.58% 190.98% 125.24% 87.03%
2021 26.63% 26.84% 16.57% 13.61%
2022 -32.97% -53.88% -36.88% -31.33%
2023 53.81% -21.95% 17.62% 19.27%
2024 24.88% 166.22% 18.75% 23.00%
2025 22.05% 39.46% 58.24% 41.09%
% Best Year 7.32% 58.54% 24.39% 9.76%
Avg Rank 3.1 2.1 2.3 2.6
