The Test Bench › index_rule

Does Alpha Architect US Quant Momentum (QMOM) actually work?

MARGINAL

Real but small -- not worth what it costs to run.

The claim

Just buy the top momentum stocks -- no work, off the shelf — Buyable momentum ETF

What we did

Tested against Cap-weight SPY, buy & hold, 2017-2026 common window, net of expense ratio (fund price).

The result

Result: 13.7 %/yr CAGR net of fee (cap-weight = +12.5)

+13.7%/yr net of fee, Sharpe 0.61, maxDD -39%, expense 0.29% (concentrated high-momentum ~50 stk, quarterly)

Verdict

The concentrated bet (~50 stocks): it promised the most punch and delivered the LEAST (+1%/yr vs SPY) with the worst drawdown (-39%). Concentration cut both ways and lost. More conviction, less payoff.

What the test did and did not do

survivorship-free universe
net of real costs
point-in-time data
checked for look-ahead
tested out of sample

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

← Zweig Breadth Thrust All findings Cap-Weight (the index everyone buys) →

Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.