Momentum
Buy the stocks that have risen the most over the last six months.
How it works
Every month, take the liquid stocks that are up over the last six months, and buy the ten that rose the most, in equal weight.
The idea
Winners tend to keep winning for a while: investors react slowly to good news, and trends feed on themselves. It is one of the best documented effects in stock markets. The risk is sharp reversals, when last year's winners fall together.
Backtests are simulations on historical data, not investment advice. Past results don't guarantee future returns.