Momentum portfolio of 20 BIST stocks with the highest Sortino ratio. Monthly rebalance, academically grounded systematic strategy.
| # | Hisse | Skor | Ağırlık | Ay Getirisi |
|---|---|---|---|---|
| 1 | TEHOL | 99 | 5% | +7.3% |
| 2 | MRSHL | 85 | 5% | -21.3% |
| 3 | IEYHO | 82 | 5% | +5.8% |
| 4 | EUKYO | 80 | 5% | +7.1% |
| 5 | ISBTR | 78 | 5% | -5.4% |
| 6 | TMPOL | 76 | 5% | -9.3% |
| 7 | KOCMT | 74 | 5% | +10.3% |
| 8 | GOZDE | 74 | 5% | -6.9% |
| 9 | AHGAZ | 72 | 5% | -11.7% |
| 10 | MARKA | 72 | 5% | -15.1% |
| 11 | SELEC | 71 | 5% | +30.5% |
| 12 | ATSYH | 71 | 5% | +18.6% |
| 13 | ARMGD | 70 | 5% | +9.7% |
| 14 | KTLEV | 67 | 5% | +7.5% |
| 15 | GUNDG | 66 | 5% | +21.4% |
| 16 | KRONT | 65 | 5% | -12.6% |
| 17 | DNISI | 64 | 5% | -13.9% |
| 18 | THYAO | 64 | 5% | +0.3% |
| 19 | INFO | 63 | 5% | -5.9% |
| 20 | DOCO | 63 | 5% | -6.7% |
The momentum factor is based on the tendency of stocks with strong recent performance to continue outperforming in the short to medium term. Jegadeesh and Titman's 1993 study documented this effect. Borsafolio's momentum portfolio selects the top 20 stocks by 21-day Sortino ratio — Sortino measures only downside risk, providing a cleaner signal than standard momentum metrics in BIST's high-volatility environment.
The momentum portfolio has delivered the highest absolute returns among all factor portfolios. However, it also has the highest drawdown — a structural feature of momentum strategies. It outperforms during strong trending periods but experiences sharp pullbacks during sudden regime changes (2018 currency crisis, 2022 rate cut surprise).
The momentum portfolio suits investors with high risk tolerance who want to capture short-to-medium-term trends. Combining with low volatility or value factors significantly improves risk-adjusted returns. Monthly rebalance discipline is required — sticking to rules without emotional decisions is the key to success.
Related articles: What Is Factor Investing?, Momentum Factor, Multi-Factor Portfolio, 10-Year BIST Factor Analysis, Sharpe Ratio Guide, Why Factor Premia Exist, Stock Screening Guide