Momentum investors know that in order to exploit the momentum factor it is best to ignore last month’s returns. While stocks that have had positive returns over the last six or twelve months tend to outperform in the coming month or so, stocks that outperformed in the previous month tend to underperform the next. This short-term reversal effect is well known and if you are interested in how big it is, you can download it from
Short-term reversal or short-term momentum?
Short-term reversal or short-term momentum?
Short-term reversal or short-term momentum?
Momentum investors know that in order to exploit the momentum factor it is best to ignore last month’s returns. While stocks that have had positive returns over the last six or twelve months tend to outperform in the coming month or so, stocks that outperformed in the previous month tend to underperform the next. This short-term reversal effect is well known and if you are interested in how big it is, you can download it from