Directed flow of deuterons, tritons, $^3$He, and $^4$He is studied in Au+Au collisions at a beam momentum of about 10.8 $A$ GeV/c. Flow of all particles is analyzed as a function of transverse momentum for different centralities of the collision. The directed flow signal, $v_1(p_t)$, is found to increase with particle mass. This mass dependence is strongest in the projectile rapidity region.