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Description of Momentum Factor for Emerging Markets

Monthly Returns:

 

January 1990 September 2019

 

 

 

Annual Returns:

 

19912018

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded.

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 country are the 30th and 70th percentiles of the lagged momentum returns of the big stocks of the country.

The emerging portfolios use momentum and size breakpoints for each country. 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 emerging markets 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.

Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.