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Detail for Daily Momentum Factor (Mom)

Daily Returns:   November 3, 1926 - January 31, 2017
     
Construction:  

We use six value-weight portfolios formed on size and prior (2-12) returns to construct Mom. The portfolios, which are formed daily, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior (2-12) return. The daily size breakpoint is the median NYSE market equity. The daily 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 day include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for day t (formed at the end of day t-1), a stock must have a price for the end of day t-251 and a good return for t-21. In addition, any missing returns from t-250 to t-22 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of day t-1.