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Detail for Monthly Momentum Factor (Mom)

Monthly Returns:   January 1927 - August 2016
     
Annual Returns:   1927 - 2015
     
Construction:  

We use six value-weight portfolios formed on size and prior (2-12) returns to construct Mom. The portfolios, which are formed monthly, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior (2-12) return. The monthly size breakpoint is the median NYSE market equity. The monthly prior (2-12) return breakpoints are the 30th and 70th NYSE percentiles.

Mom is the average return on the two high prior return portfolios minus the average return on the two low prior return portfolios,


  Mom = 1/2 (Small High + Big High)
 - 1/2(Small Low + Big Low).
 
     
Stocks:   The six portfolios used to construct Mom each month include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for month t (formed at the end of month t-1), a stock must have a price for the end of month t-13 and a good return for t-2. In addition, any missing returns from t-12 to t-3 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of month t-1.