Worst Month For Momentum On Record

July 2026 compressed a historically severe amount of relative underperformance for momentum into a single month.

Looking at US equities since 1988, July was momentum’s worst month on record.

To put that move in perspective, July’s one-month excess return was roughly equal to the average bottom-decile rolling 12-month period for momentum. In other words, momentum experienced in a single month approximately the same relative underperformance that has historically accumulated over an entire historically weak year. Importantly, because momentum entered July from a position of considerable strength, its trailing one-year excess return remains positive.

While July’s reversal was extraordinary in its speed, history suggests that periods of extreme momentum weakness have often been followed by periods of renewed leadership.

Following those historically weak one-year periods, momentum outperformed over the next year in 78% of observations and over the next three years in 93%, averaging approximately 6 and 25 percentage points of excess return, respectively.

The story is remarkably similar in non-US equities.

Looking at non-US equities back to 1991, July also marked momentum’s worst month on record. As in the US, July’s one-month excess return was comparable to the average bottom-decile rolling 12-month period for momentum.

Historically, following these deeply negative rolling one-year periods, momentum outperformed over the subsequent one year in 67% of observations and over the subsequent three years in 88% of observations, averaging approximately 5 and 20 percentage points of excess return, respectively.