Top 10% of last year's winners vs the US market, one line per start year (after estimated costs)

source: Ken French data library: top decile of 10 portfolios on prior 12-2 month return (value-weighted, rebalanced monthly) vs Mkt-RF + RF, to Aug 2026; Costs: 0.325% a month, half of the 0.65%/month Novy-Marx & Velikov (RFS 2016, Table 3) estimate for the long-short momentum decile strategy (~35% monthly turnover per side). Taxes excluded. • drawn 2026-10-12 12:44 UTC