Factor Portfolios
Data-Driven Portfolios
Systematic factor investing in BIST stocks. Monthly updated selections and comprehensive backtest data.
August 2026 · Current
Momentum Portfolio — What is it?
The 20 stocks with the highest risk-return ratio over the past month are selected. The portfolio is rebalanced at the beginning of each month with equal weights (5%).
Annual Return
+100.5%
Sharpe
2.77
Max Drawdown
-45.3%
Win Rate
68%
Index Return Comparison
MomentumBIST 100
1Y
+110.9%
3Y
+998.3%
5Y
+3141.0%
Tümü
This Month's SelectionsAugust 3, 2026Momentum
Top 20 BIST stocks with the strongest uptrend over the past month.
| # ↑ | Ticker ↕ | Score ↕ | Weight ↕ | Monthly Return ↕ |
|---|---|---|---|---|
| 1 |  TEHOL | 99 | 5% | +6.4% |
| 2 |  HEDEF | 96 | 5% | -57.6% |
| 3 |  OZATD | 69 | 5% | +8.1% |
| 4 |  ALKLC | 63 | 5% | +6.2% |
| 5 |  PASEU | 62 | 5% | +19.7% |
| 6 |  ISVEA | 62 | 5% | +46.7% |
| 7 |  CELHA | 61 | 5% | +2.4% |
| 8 |  RYGYO | 59 | 5% | +7.9% |
| 9 |  EBEBK | 59 | 5% | -8.3% |
| 10 |  IEYHO | 57 | 5% | +10.0% |
| 11 |  DUNYH | 57 | 5% | -0.2% |
| 12 |  ORZAX | 57 | 5% | -3.9% |
| 13 |  BETAE | 57 | 5% | +24.9% |
| 14 |  CATES | 56 | 5% | +28.2% |
| 15 |  SUNTK | 56 | 5% | -17.9% |
| 16 |  ANHYT | 56 | 5% | -8.5% |
| 17 |  GRSEL | 55 | 5% | -8.7% |
| 18 |  KUVVA | 55 | 5% | +16.1% |
| 19 |  TKFEN | 55 | 5% | +25.5% |
| 20 |  TUPRS | 55 | 5% | +40.0% |
| Portfolio Return | 100% | +6.8% |
Methodology
How is this portfolio constructed?
The Sortino ratio measures risk-return balance by considering only downside risk. A high Sortino indicates the stock generates strong returns without exposure to losses. The 21-day window captures short-term momentum.
01
Universe
All BIST stocks are scanned. Stocks with daily volume below 50,000 and less than 252 days of history are filtered out.
02
Sortino Calculation
For each stock, the average return of the last 21 days is divided by the standard deviation of only negative days to calculate the Sortino ratio.
03
Ranking
Stocks are ranked by 21-day Sortino score from highest to lowest, and the top 20 are selected.
04
Rebalance
The portfolio is rebalanced on the first trading day of each month. Sortino scores are automatically calculated from the database and the top 20 stocks are selected with equal weights.
These portfolios do not constitute investment advice. Past performance does not guarantee future results.