TWIN MOMENTUM
Blanc WM — Quantitative Research — Apr 2026
A rules-based US equity strategy selecting 10 stocks with the highest combined price momentum & earnings momentum score, equal-weighted and rebalanced monthly. CAGR 21.1% since Jan 2008 vs S&P 500 12.6% — 2,643% cumulative return on a $100K investment. Sharpe 0.82 | Sortino 1.21 | Max DD −35.4%.

Academic Foundation: Based on Dashan Huang (2015) “Twin Momentum: Fundamental Trends Matter” (Journal of Portfolio Management). The core insight: combining price momentum (12-1M excess return) with fundamental momentum (earnings revision trends) materially reduces momentum crash risk while preserving the factor premium.

Portfolio Construction: Monthly screening of the US large-cap universe on Validea’s Twin Momentum model. Top 10 stocks by twin-score are held at 10% each. Full reconstitution every month-end. No leverage, no shorting. Approximately 150–240% annual turnover.

Strengths: 123% upside capture vs 86% downside capture — asymmetric participation. Positive alpha in 12 of 19 years. Strongest in secular bull markets and post-crisis recoveries (2010 +43%, 2020 +48%, 2021 +40%, 2024 +42%).

Risks: High concentration (10 stocks). Momentum crash risk in rapid rate-shock reversals (2022: −27.7%). Lags in narrow thematic rallies (2023: −10pp vs index due to Magnificent 7 concentration).

Suitability: Long-horizon (5+ year) sophisticated investors tolerant of 30%+ drawdowns, seeking systematic exposure to momentum factor with a fundamental quality overlay. Not suitable as standalone allocation for risk-averse mandates.

📈 Performance
MetricTMS&PDelta
■ Risk
MetricTMS&PDelta
📈 Cumulative Growth — $100K Invested Jan 2008
Twin Momentum → $2,743,165
S&P 500 → $781,037
▮ Annual Returns — TM vs S&P 500
Twin Momentum
S&P 500
📉 Drawdown — Underwater Curve
◆ Current Portfolio — 10 Positions
Last rebal: 27 Mar 2026
TickerCompanyAddedEntryLastReturnWeight
🔄 Portfolio Rotation Analysis — May 2014–Apr 2026
Avg Annual Turnover
~35 pos
Opened per year
Median Holding Period
56 days
~2 rebalancing cycles
Win Rate (2024–26)
61%
Closed positions
Payoff Ratio
1.36×
Avg win +21% / Avg loss −15%
📌 Turnover Insights
●Peak churn in 2016 (54) and 2022–23 (46–48) — volatile markets force more rotation as signals whipsaw.
●2020 lowest (24) — Covid bull run let winners compound; consistent with strategy best year (+48%).
●Avg ~35 positions/year = ~3.5× full portfolio replacement annually.
💲 Implementation Form — UBS Actively Managed Certificate
Mgmt fee: 1.0% p.a.  •  Perf fee: 10% (monthly HWM)  •  TC: 0.05% per trade × 10% position × 2 sides
S&P 500 CAGR
12.6%
Benchmark over same period
Net CAGR (After Fees)
16.4%
What the client actually earns
Net Terminal Value
$15.9M
vs $7.8M in S&P 500 — 2× more
📌 Key Insights
●$1M → $15.9M net after all fees vs $7.8M in S&P 500 — 2× more wealth over the same period.
●16.4% net CAGR vs 12.6% for the index — 3.1pp annual edge compounding dramatically over time.
●After all fees, the strategy outperforms passive investing by 104% on a $1M ticket over the full cycle.
Investor Suitability Assessment
✓ FOR this structure
  • Proven 16.4% net CAGR after all costs
  • 2× S&P 500 net return over full cycle
  • $1M grows to ~$2.2M in 5yr, ~$2.9M in 7yr
  • Transparent rule-based — zero manager discretion
  • Monthly liquidity via UBS AMC wrapper
  • Institutional-grade custody • No key-person risk
ⓘ Considerations
  • Best suited for 5+ year horizon
  • Short-term volatility is part of the return profile
  • Drawdowns of 20–35% can occur in adverse markets
  • ~70 trades/year reflects active alpha generation
  • Performance fee activates only when you profit
  • Not recommended as sole equity allocation
◆ Blanc WM Recommendation
  • RECOMMENDED for growth-oriented investors with a 5–7 year horizon.
  • Delivers 16.4% net CAGR — roughly double the S&P 500 — with full transparency and institutional custody at UBS.
  • Suggested: 5–10% of equity sleeve.