Strategy · QM
Quality Momentum
Top-quintile 12-1 momentum overlaid on a quality screen — ROE TTM, profit margin, market cap. Monthly rebalance.
Performance
Daily mark-to-market NAV from live IBKR paper account.
Current picks
as of 2026-05-18| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | FORM | NASDAQ | $9.84B | conviction → |
| 02 | TER | NASDAQ | $52.89B | conviction → |
| 03 | SPHR | NYSE | $4.81B | conviction → |
| 04 | ENLT | NASDAQ | $11.96B | conviction → |
| 05 | FIX | NYSE | $70.15B | conviction → |
Recent rebalances
Last 5sessions before today's pick. Click any ticker for the full conviction breakdown.
2026-05-15
| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | SCZM | NASDAQ | $834M | conviction → |
| 02 | ARWR | NASDAQ | $10.24B | conviction → |
| 03 | RHLD | NYSE | $916M | conviction → |
| 04 | COHR | NYSE | $65.59B | conviction → |
| 05 | ENLT | NASDAQ | $12.61B | conviction → |
2026-05-14
| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | RHLD | NYSE | $916M | conviction → |
| 02 | SCZM | NASDAQ | $834M | conviction → |
| 03 | COHR | NYSE | $65.59B | conviction → |
| 04 | VISN | NASDAQ | $2.64B | conviction → |
| 05 | ENLT | NASDAQ | $12.61B | conviction → |
2026-05-13
| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | VISN | NASDAQ | $2.64B | conviction → |
| 02 | SCZM | NASDAQ | $834M | conviction → |
| 03 | COHR | NYSE | $65.59B | conviction → |
| 04 | ARWR | NASDAQ | $10.24B | conviction → |
| 05 | ENLT | NASDAQ | $12.61B | conviction → |
2026-05-12
| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | VISN | NASDAQ | $2.64B | conviction → |
| 02 | COHR | NYSE | $65.59B | conviction → |
| 03 | ARWR | NASDAQ | $10.24B | conviction → |
2026-05-11
| # | Ticker | Exchange | Market cap | |
|---|---|---|---|---|
| 01 | VISN | NASDAQ | $2.64B | conviction → |
| 02 | COHR | NYSE | $65.59B | conviction → |
| 03 | ARWR | NASDAQ | $10.24B | conviction → |
| 04 | SCZM | NASDAQ | $834M | conviction → |
| 05 | TER | NASDAQ | $56.32B | conviction → |
| 06 | ENLT | NASDAQ | $12.61B | conviction → |
| 07 | SPHR | NYSE | $4.77B | conviction → |
| 08 | FORM | NASDAQ | $11.53B | conviction → |
| 09 | PARR | NYSE | $3.23B | conviction → |
| 10 | FIX | NYSE | $68.73B | conviction → |
Methodology
How Quality Momentum picks names.
Buys companies that are both growing fast AND profitable. Momentum on its own catches glamour stocks that crash; profitability screens out hype. The pair has decades of academic support (Asness, Frazzini, Pedersen 2019; Novy-Marx 2013).
- 01
Universe filter
US listings on NYSE / NASDAQ / AMEX, market cap > $500M, actively traded (not halted, not disabled).
- 02
12-1 momentum
Return from 12 months ago to 1 month ago. Skipping the most recent month avoids the short-term reversal effect documented by Jegadeesh & Titman.
- 03
Quality screen
Of the top momentum candidates, keep only those with positive ROE TTM and positive profit margin. Filters out lottery-style rallies in unprofitable names.
- 04
Composite ranking
Survivors ranked by combined momentum + quality score. Top 5 selected and persisted to the strategy result table.
- 05
AI research card
Each pick is reviewed by an LLM (Gemini Flash) against current fundamentals + recent news. Verdict (BUY / HOLD / AVOID) plus two material risks documented before the order is placed.
- Rebalance cadence
- Monthly on first business day. Currently testing daily (2026-05-11 → 2026-05-31) to surface order-path bugs before live capital.
- Universe
- US large-cap equity (~150 names after quality filter)