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Description of Momentum Factors for Developed Markets

Monthly Returns:

 

July 1990August 2017

 

 

 

Annual Returns:

 

19912016

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. Market is the return on a region's value-weight market portfolio minus the U.S. one month T-bill rate.

The 2x3 sorts on size and lagged momentum to construct WML are formed monthly. For portfolios formed at the end of month t1, the lagged momentum return is a stock's cumulative return for month t12 to month t2. The momentum breakpoints for a region are the 30th and 70th percentiles of the lagged momentum returns of the big stocks of the region.

The global portfolios use global size breaks, but we use the momentum breakpoints for the four regions to allocate the stocks of these regions to the global portfolios. The independent 2x3 sorts on size and momentum produce six value-weight portfolios, SL, SN, SW, BL, BN, and BW, where S and B indicate small and big and L, N, and W indicate losers, neutral, and winners (bottom 30%, middle 40%, and top 30%).

WML is the equal-weight average of the returns for the two winner portfolios for a region minus the average of the returns for the two loser portfolios,

WML = 1/2 (Small High + Big High)
1/2 (Small Low + Big Low).

 

 

 

Stocks:

 

The six portfolios used to construct WML each month include stocks with prior return data. To be included in a portfolio for month t (formed at the end of the month t1), a stock must have a price for the end of month t13 and a good return for t2.

 

Country Global Global ex US Europe Japan Asia Pacific ex Japan North America
 Australia      
 Austria      
 Belgium      
 Canada      
 Switzerland      
 Germany      
 Denmark      
 Spain      
 Finland      
 France      
 Great Britain      
 Greece      
 Hong Kong      
 Ireland      
 Italy      
 Japan      
 Netherlands      
 Norway      
 New Zealand      
 Portugal      
 Sweden      
 Singapore      
 United States