Momentum Blend
Half smooth-trend momentum stocks (Core), half breakout growth leaders (up to 10), rebuilt monthly from US stocks worth $1B+.
Backtest +18.6% a year vs S&P 500 +15.2% (2016–2026, hypothetical)21 holdings · updated Sep 30, 2026
Since it started being tracked live at the Oct 16 close, it is up 0.9%, while the S&P 500 was up 0.8% over the same days. That is 0.1 points ahead.
In a simulation on past data (2016–2026), these rules averaged a gain of 18.6% a year, against 15.2% a year for the S&P 500. A simulation is not a real result, and real results are usually lower.
Its deepest fall from a high in that simulation was 30.8% (the S&P 500's was 23.9%).
It holds 21 stocks and the rules re-run monthly; the next re-run is Oct 30.
This describes a research model. It is not advice, and no one's money is in it.
For information only · Important disclosures
| Period | Momentum Blend | S&P 500 (SPY) | Difference |
|---|---|---|---|
| 1D | +0.5% | +0.6% | -0.1 pts |
| 1W | -1.4% | +0.1% | -1.5 pts |
| YTD | +0.9% | +0.8% | +0.1 pts |
| Since start | +0.9% | +0.8% | +0.1 pts |
How it's measured · not investment advice
The published weights, held from the Oct 16, 2026 close and reset only at dated rebalances, valued at delayed daily closes (Yahoo Finance). No backtest figures. In the first year, YTD counts from the start close. Before fees, taxes and trading costs. Research only, not investment advice; SURVYR. doesn't manage money. Not yet: 1M, 3M, 6M, 1Y, until the live record is that long.
Model notes
Momentum Blend · Allocation Pie
21 positions · 100%Interactive weighting by individual position or sector/asset sleeve
Holdings (21)
As of the Sep 30, 2026 rebalance
CORTCorcept Therapeutics
5.4%
DRHDiamondRock Hospitality Company
5.4%
DELLDell Technologies
5.4%
HZOMarineMax, Inc.
5.4%
FTNTFortinet
5.4%
ZBRAZebra Technologies
5.4%
PAYCPaycom
5.4%
NEONeoGenomics Laboratories, Inc.
5.4%
MRNAModerna
5.4%
OKTAOkta, Inc.
5.4%
OGNOrganon & Co.
5.4%
MSGSMadison Square Garden Sports Corp.
4.7%
TGTTarget Corporation
4.6%
UFCSUnited Fire Group, Inc.
4.5%
NHCNational Healthcare, Corp.
4.3%
MATXMatson, Inc.
3.9%
ECPGEncore Capital Group, Inc.
3.9%
VLOValero Energy
3.8%
AAMIAcadian Asset Management Inc.
3.8%
INSWInternational Seaways, Inc.
3.6%
DGIIDigi International Inc.
3.5%Why each stock is held
CORT In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $103.70; last close $87.59, -16% above it.
DRH In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
DELL In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $397.59; last close $501.96, 26% above it.
HZO In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $51.35; last close $52.48, 2% above it.
FTNT In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $103.46; last close $185.00, 79% above it.
ZBRA In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $326.18; last close $381.67, 17% above it.
PAYC In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $205.58; last close $261.94, 27% above it.
NEO In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $14.56; last close $17.27, 19% above it.
MRNA In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $113.32; last close $207.97, 84% above it.
OKTA In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $105.44; last close $226.07, 114% above it.
OGN In the Leaders sleeve: a fast grower breaking out near its highs after an earnings-style gap. Exits if it closes below its stop of $12.98; last close $13.75, 6% above it.
MSGS In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
TGT In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
UFCS In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
NHC In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
MATX In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview keeps it.
ECPG In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview keeps it.
VLO In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview keeps it.
AAMI In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview keeps it.
INSW In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview keeps it.
DGII In the Core sleeve: one of the steadiest 12-month uptrends in its universe (the model's smooth-trend momentum score). Re-checked at each monthly rebalance (next Oct 30); leaves if it no longer makes the Core selection. The latest preview drops it.
Next rebalance preview 14 likely in · 13 at risk · not final
ABCL AbCellera Biologics Inc.Likely to enter
CDNA CareDx, Inc.Likely to enter
CLMT Calumet, Inc.Likely to enter
CON Concentra Group Holdings Parent, Inc.Likely to enter
GRAL GRAIL, Inc.Likely to enter
IOVA Iovance Biotherapeutics, Inc.Likely to enter
KOD Kodiak Sciences Inc.Likely to enter
KRT Karat Packaging Inc.Likely to enter
LPG Dorian LPG Ltd.Likely to enter
NTSK Netskope, Inc.Likely to enter
PAGP Plains GP Holdings, L.P.Likely to enter
PSX Phillips 66Likely to enter
RPRX Royalty Pharma plcLikely to enter
TEAM Atlassian CorporationLikely to enterCORT Held At risk of leavingDELL Held At risk of leavingDGII Held At risk of leavingDRH Held At risk of leavingHZO Held At risk of leavingMSGS Held At risk of leavingNEO Held At risk of leavingNHC Held At risk of leavingOGN Held At risk of leavingPAYC Held At risk of leavingTGT Held At risk of leavingUFCS Held At risk of leavingZBRA Held At risk of leavingRe-runs the rules on prices through Oct 27, 2026. Official holdings are set only on rebalance day (Oct 30).
How it works
What it owns. Core (50%): stocks in steady 12-month uptrends, ranked on a blend of 12-1 and 6-1 momentum per unit of volatility plus trend smoothness, sized by inverse volatility. Leaders (50%): up to 10 stocks in the top 20% on 3- and 6-month relative strength, within 25% of their high, above the 50-day average, with more up-volume than down-volume and an 8%+ gap that has held.
Which stocks qualify. US-listed common stocks of companies that file 10-Ks with the SEC, with a market cap of at least $1B, a price of at least $5 and a 20-day median of at least $5M traded a day. Sectors for the caps come from SEC industry codes.
How it was chosen. Every single change to the baseline Core+Leaders rules was tested on 2016-2021 only; the changes that beat the baseline in that window were combined. In Oct 2026 the list of eligible stocks was widened from the S&P 1500 to all US stocks worth $1B+, after comparing floors over the full history.
Risk controls. No name above 15%, no sector above 45%, positions under 3% dropped. Leaders carry a stop just under the gap-day low.
What the backtest leaves out. Price/volume only: the backtest does not apply a value tilt or a revenue-growth filter, because point-in-time fundamentals were not used for this model.
Universe: US stocks, $1B+ market cap.
Backtest details in-sample vs out-of-sample
| 16–21 in-sample | 22–26 out-of-sample | Full | |
|---|---|---|---|
| Per year | +23.5% | +13.5% | +18.6% |
| SPY | +18.3% | +12.0% | +15.2% |
| Max drop | -28.5% | -30.8% | -30.8% |
| Volatility | 21.6% | 28.7% | 25.1% |
| Sharpe | 1.09 | 0.58 | 0.81 |
Turnover 36.9% a month. Best year +72.7% (2020), worst -15.5% (2022).
Prices only: the backtest uses the full rules (no fundamentals in this model).
Broad US universe: market cap $1B+, price $5+, 20-day median dollar volume $5M+.
Disclosures
Rules chosen on 2016-2021 data only. The broad universe was chosen in Oct 2026 after comparing $300M and $1B floors over the full period, so the 2022-2026 column is no longer an untouched test.
Universe: US-listed common stocks with market cap of at least $1B, price of at least $5 and 20-day median dollar volume of at least $5M, re-checked at every rebalance (market cap = SEC-reported shares x price at the time).
Sectors for the Core sleeve's caps come from SEC industry codes (SIC), not GICS.
Survivorship bias: only companies that still trade today are in the data (acquired or delisted companies have no free price history), so past returns are overstated, likely by more than for an index-member backtest.
Until Oct 2026 this model used S&P 1500 members only (point-in-time); that backtest returned 17.1% a year with a -28.1% max drawdown over the same window.
Costs: 10 bps per side ($2B+ market cap), 30 bps (under $2B) on every dollar traded; no taxes or other slippage; cash earns 0%. Backtests are hypothetical.
Research only: a model portfolio for information, not personal advice and not an account anyone manages. Past results don't predict future returns.
Models can be wrong; holdings may be aggressive, speculative or out of date.
The author may hold positions in securities discussed here, including this model's holdings, and may buy or sell them at any time. See the disclaimer.
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Systematic research · Not investment advice · Hypothetical unless marked Live · Data: Yahoo Finance (15-min delayed), SEC EDGAR, House Clerk · Important disclosures · Contact desk@coteau.app
Coteau 0.9 · Oct 21, 2026