This file was created by CMPT_ME_PRIOR_RETS using the 202412 CRSP database.  It
contains a momentum factor, constructed from six value-weight portfolios formed
using independent sorts on size and prior return of NYSE, AMEX, and NASDAQ stocks.
Mom    is the average of the returns on two (big and small) high prior return portfolios
minus the average of the returns on two low prior return portfolios.  The portfolios
are constructed monthly.  Big means a firm is above the median market cap on the NYSE
at the end of the previous month; small firms are below the median NYSE market cap.
Prior return is measured from month -12 to - 2.  Firms in the low prior return
portfolio are below the 30th NYSE percentile.  Those in the high portfolio are above
the 70th NYSE percentile.

Missing data are indicated by -99.99 or -999.

          Mom   
192701   0.36
192702  -2.14
192703   3.61
192704   4.30
192705   3.00
192706   0.60
192707   4.31
192708   1.36
192709   1.98
192710  -0.87
192711  -0.51
192712   3.21
192801  -0.52
192802  -1.09
192803   4.70
192804  -4.41
192805   3.02
192806   2.04
192807   2.65
192808   3.54
192809   3.45
192810   5.10
192811   2.09
192812   1.54
192901   2.45
192902   3.05
192903  -0.64
192904   1.91
192905  -2.04
192906   8.60
192907   2.96
192908   4.70
192909   2.97
192910   4.10
192911  -2.39
192912   5.19
193001  -5.16
193002   0.62
193003  -4.42
193004   3.98
193005   0.05
193006   6.64
193007  -2.19
193008   3.95
193009  11.48
193010   6.86
193011  -1.46
193012  13.32
193101 -11.07
193102 -14.47
193103   9.46
193104  11.40
193105   9.26
193106 -17.88
193107   8.19
193108  -3.50
193109  10.15
193110   3.27
193111   7.54
193112  14.16
193201 -10.87
193202   1.59
193203   9.92
193204   6.97
193205  12.28
193206   1.88
193207 -45.02
193208 -52.05
193209   2.36
193210   4.95
193211  -1.83
193212   5.48
193301  -1.60
193302   4.26
193303   2.59
193304 -16.51
193305  -4.31
193306   4.00
193307   0.10
193308   7.59
193309   1.58
193310  -2.21
193311   6.10
193312   4.18
193401  -2.97
193402  -0.29
193403  -0.67
193404  -4.71
193405  -2.56
193406  -0.96
193407   8.71
193408   2.48
193409   0.06
193410   6.90
193411   3.83
193412   4.73
193501   3.72
193502  13.92
193503   2.49
193504  -4.64
193505  -3.62
193506   2.35
193507  -4.06
193508  -7.17
193509   8.95
193510   1.87
193511  -6.27
193512   3.78
193601  -3.33
193602   2.45
193603   1.82
193604  -7.65
193605   2.47
193606   0.38
193607   2.85
193608   0.65
193609   1.24
193610   1.00
193611   1.97
193612   2.01
193701  -1.90
193702   3.17
193703   2.70
193704  -3.71
193705   0.58
193706   0.74
193707  -0.55
193708  -1.85
193709  -7.01
193710  -1.60
193711  -1.23
193712   4.67
193801  -1.61
193802  -2.91
193803  15.55
193804  -8.49
193805   7.01
193806 -24.79
193807  -7.02
193808   3.64
193809   2.58
193810  -7.77
193811   3.07
193812   2.18
193901  -3.04
193902   3.27
193903  -1.55
193904   2.56
193905   3.54
193906   2.05
193907  -0.55
193908   5.95
193909 -31.03
193910   6.56
193911  -0.29
193912   5.38
194001   1.75
194002   1.79
194003  -0.36
194004   3.24
194005   2.95
194006  -2.14
194007   0.80
194008  -1.57
194009  -0.28
194010  -6.51
194011   1.28
194012   3.48
194101  -4.43
194102   0.97
194103   2.44
194104   3.01
194105   2.52
194106  -0.95
194107  -1.63
194108   0.12
194109  -1.65
194110   4.75
194111   4.05
194112   0.25
194201  -3.57
194202  -0.75
194203  -0.33
194204  -0.71
194205  -4.71
194206  -1.32
194207   0.75
194208  -0.18
194209  -0.64
194210  -4.07
194211  -0.88
194212   3.26
194301  -0.36
194302  -1.55
194303   4.85
194304   6.17
194305   5.64
194306  -1.29
194307  -4.57
194308   0.88
194309   1.80
194310  -0.57
194311  -4.60
194312   6.03
194401   0.98
194402   0.33
194403   2.51
194404   0.55
194405   1.98
194406  -5.13
194407   0.13
194408   4.66
194409  -1.06
194410  -1.34
194411   1.34
194412   3.36
194501   0.02
194502   3.10
194503  -3.26
194504   4.82
194505   0.11
194506   4.14
194507  -2.70
194508  -1.31
194509   1.25
194510   0.12
194511   4.11
194512   1.25
194601   3.78
194602  -1.44
194603   2.68
194604   2.98
194605  -0.46
194606  -2.50
194607  -0.02
194608  -0.04
194609   0.74
194610   1.03
194611   0.19
194612  -0.08
194701  -6.36
194702  -0.52
194703   4.13
194704   4.99
194705   3.34
194706  -1.67
194707  -3.43
194708   3.33
194709   0.01
194710   1.57
194711   4.27
194712   3.62
194801  -4.30
194802   1.44
194803  -0.31
194804   4.09
194805   2.30
194806   4.08
194807  -1.61
194808   0.23
194809  -1.31
194810   2.80
194811   0.54
194812   4.63
194901  -2.90
194902  -0.41
194903  -0.94
194904   3.10
194905   2.98
194906  -1.06
194907  -1.49
194908   1.72
194909  -1.41
194910   0.06
194911   1.22
194912  -0.78
195001  -2.34
195002   1.39
195003   1.47
195004   0.41
195005   0.37
195006  -1.58
195007  -0.47
195008   3.19
195009  -0.17
195010   1.53
195011   3.63
195012   4.99
195101   2.00
195102  -1.55
195103  -2.97
195104   6.01
195105  -0.93
195106  -2.38
195107   7.27
195108   1.00
195109   0.49
195110  -0.20
195111   0.57
195112   1.68
195201   1.35
195202  -0.68
195203   1.59
195204  -2.06
195205   0.51
195206   1.48
195207  -0.57
195208   0.34
195209   1.70
195210   2.82
195211   0.48
195212   1.59
195301   0.71
195302   0.88
195303   0.07
195304   1.91
195305   0.94
195306   0.00
195307  -0.25
195308   2.12
195309   2.85
195310   0.21
195311   1.90
195312   5.21
195401  -5.83
195402   1.04
195403   2.04
195404   4.97
195405  -1.90
195406   3.51
195407   0.48
195408  -0.66
195409   1.56
195410   0.95
195411   1.90
195412  -1.33
195501   1.36
195502   1.09
195503   1.04
195504   0.07
195505   0.51
195506   4.62
195507  -1.21
195508   1.79
195509   1.82
195510  -0.60
195511   2.70
195512  -1.35
195601  -1.40
195602   1.96
195603   3.60
195604   2.58
195605  -1.61
195606   2.73
195607   2.50
195608  -0.69
195609  -0.75
195610   2.43
195611   3.41
195612   3.82
195701  -3.09
195702   0.32
195703  -0.18
195704   1.00
195705   0.48
195706   0.79
195707  -0.07
195708   0.47
195709   0.53
195710   1.95
195711   1.27
195712   7.82
195801  -7.62
195802   3.73
195803  -1.88
195804   1.84
195805  -1.80
195806  -0.88
195807  -3.70
195808   0.21
195809  -1.10
195810   3.15
195811   1.58
195812  -0.63
195901  -0.26
195902   3.45
195903   0.16
195904   3.17
195905   1.49
195906   2.90
195907  -0.30
195908  -1.00
195909   0.93
195910   3.71
195911   2.23
195912   1.03
196001  -3.54
196002   3.92
196003   1.38
196004   2.84
196005   4.79
196006   0.86
196007  -0.81
196008   1.91
196009   0.32
196010   1.25
196011   3.78
196012   1.41
196101  -4.00
196102   0.98
196103   4.54
196104   3.60
196105  -1.57
196106   0.33
196107   0.27
196108   1.59
196109   0.82
196110   3.11
196111   1.35
196112  -2.21
196201  -2.03
196202  -1.01
196203   1.84
196204   2.91
196205   0.41
196206   6.46
196207   0.52
196208  -0.60
196209   3.95
196210   0.76
196211  -7.16
196212   5.89
196301  -2.11
196302   2.53
196303   1.62
196304  -0.09
196305   0.33
196306   1.21
196307   0.90
196308   1.01
196309   0.19
196310   3.12
196311  -0.74
196312   1.75
196401   0.86
196402   0.26
196403   0.75
196404  -0.58
196405   2.57
196406   0.46
196407  -0.35
196408  -0.22
196409  -0.41
196410   0.08
196411   1.03
196412  -0.74
196501  -1.44
196502   0.32
196503   0.15
196504   2.63
196505   0.60
196506  -3.13
196507   4.10
196508   2.58
196509   3.30
196510   3.46
196511   4.45
196512   0.12
196601   5.39
196602   4.57
196603   1.42
196604   6.28
196605  -4.70
196606   3.25
196607  -1.34
196608  -2.14
196609  -1.84
196610  -5.26
196611   5.72
196612   1.06
196701  -6.93
196702   3.52
196703   1.53
196704   0.59
196705   0.72
196706   6.00
196707  -1.07
196708  -1.38
196709   2.52
196710   3.67
196711   1.26
196712   3.25
196801  -4.70
196802  -3.43
196803   3.23
196804   5.09
196805   3.80
196806  -1.90
196807  -0.88
196808   1.89
196809  -0.65
196810  -1.46
196811   1.75
196812  -0.01
196901  -0.17
196902  -2.36
196903   3.97
196904   1.13
196905   1.70
196906  -2.30
196907   1.71
196908   2.17
196909   2.52
196910  -4.31
196911   3.66
196912   4.96
197001   0.60
197002   0.23
197003  -0.36
197004  -0.77
197005  -2.78
197006   5.70
197007  -3.14
197008  -6.55
197009  -8.80
197010   9.42
197011   2.73
197012  -2.23
197101  -6.51
197102   0.79
197103  -1.41
197104   1.41
197105   0.86
197106   2.73
197107  -2.35
197108   3.61
197109   2.12
197110   0.47
197111   1.51
197112  -0.58
197201   0.17
197202   2.54
197203   2.94
197204   2.81
197205   3.29
197206   1.90
197207   2.75
197208  -5.40
197209   1.82
197210   0.71
197211  -5.09
197212   4.92
197301   3.73
197302   2.16
197303   3.59
197304   6.36
197305   7.14
197306   4.30
197307 -11.57
197308   3.46
197309  -7.00
197310   6.87
197311   8.66
197312  10.38
197401  -8.85
197402   0.32
197403  -1.06
197404   2.11
197405  -0.39
197406   2.30
197407   3.11
197408   3.00
197409   4.24
197410  -0.54
197411   2.13
197412   2.92
197501 -13.82
197502  -0.61
197503  -2.04
197504   1.38
197505  -0.58
197506   0.04
197507   0.42
197508  -0.10
197509   0.41
197510  -0.16
197511  -0.45
197512  -0.11
197601   4.45
197602   0.38
197603   0.15
197604   0.59
197605  -1.12
197606  -0.42
197607  -0.13
197608  -0.85
197609   0.22
197610  -0.44
197611   2.91
197612   0.73
197701   4.00
197702   0.36
197703   0.55
197704   4.21
197705   2.03
197706   1.66
197707   0.32
197708  -1.70
197709   2.00
197710  -0.08
197711   2.01
197712   1.58
197801  -0.66
197802   1.97
197803   1.37
197804   0.86
197805   2.83
197806   2.74
197807   4.17
197808   2.83
197809  -3.14
197810  -8.46
197811   5.45
197812   3.03
197901  -1.36
197902  -1.06
197903   2.93
197904   0.81
197905  -0.54
197906   0.84
197907  -1.07
197908  -0.20
197909   5.28
197910   2.01
197911   8.14
197912   4.78
198001   7.55
198002   7.88
198003  -9.55
198004  -0.43
198005  -1.12
198006   1.62
198007   0.39
198008   3.21
198009   5.39
198010   7.30
198011  15.22
198012  -6.68
198101  -7.95
198102  -1.35
198103   0.74
198104  -0.91
198105   3.70
198106  -5.81
198107  -2.45
198108  -1.15
198109   1.95
198110   4.01
198111  -0.27
198112   1.30
198201   1.72
198202   4.88
198203   2.96
198204  -0.40
198205   2.50
198206   4.96
198207   4.45
198208  -3.52
198209   4.19
198210   0.18
198211   5.95
198212   0.04
198301  -1.73
198302   3.77
198303   0.92
198304   1.72
198305  -1.56
198306   1.80
198307  -3.13
198308  -5.88
198309  -0.03
198310  -4.52
198311  -0.13
198312   0.84
198401  -2.56
198402   0.22
198403   1.07
198404   2.07
198405   1.51
198406  -0.70
198407   2.85
198408  -5.59
198409   3.62
198410   3.16
198411   1.64
198412   1.49
198501  -6.82
198502   1.88
198503   1.58
198504   3.04
198505   3.99
198506   3.57
198507  -3.91
198508   1.85
198509   1.51
198510   4.88
198511  -0.47
198512  -0.23
198601   3.00
198602   2.76
198603   2.41
198604  -0.37
198605   2.05
198606   5.07
198607   1.83
198608  -5.28
198609  -5.79
198610   4.46
198611  -0.26
198612   0.35
198701   2.20
198702  -2.07
198703   1.68
198704   0.22
198705  -0.74
198706  -0.25
198707   2.72
198708  -0.86
198709   0.77
198710  -7.86
198711  -1.17
198712   5.87
198801  -7.24
198802  -1.47
198803   0.58
198804   2.24
198805   0.63
198806  -2.93
198807   0.66
198808   0.35
198809   0.27
198810   1.33
198811   0.33
198812   0.49
198901  -0.16
198902   0.99
198903   3.51
198904   1.77
198905   1.52
198906   0.43
198907   5.41
198908  -0.12
198909   3.40
198910   1.32
198911   2.60
198912   2.80
199001  -3.27
199002  -0.55
199003   1.80
199004   2.39
199005   3.03
199006   2.40
199007   6.10
199008   1.88
199009   5.78
199010   6.71
199011  -5.48
199012   0.29
199101  -6.45
199102  -4.61
199103   2.87
199104  -2.36
199105  -0.11
199106   0.47
199107   4.32
199108   1.57
199109   1.79
199110   3.06
199111   1.14
199112   8.19
199201  -2.49
199202  -0.53
199203  -0.29
199204  -2.58
199205   0.21
199206  -0.58
199207   1.56
199208  -0.51
199209   1.49
199210   2.48
199211  -0.15
199212   4.31
199301   4.83
199302   3.14
199303   3.73
199304   0.38
199305   0.22
199306   4.55
199307   3.16
199308   2.65
199309   3.37
199310  -2.72
199311  -4.74
199312   2.36
199401   0.00
199402  -0.30
199403  -1.27
199404   0.39
199405  -2.19
199406  -0.87
199407   0.18
199408   1.55
199409   1.31
199410   1.49
199411  -0.18
199412   3.48
199501  -1.81
199502  -0.39
199503   0.43
199504   1.79
199505  -0.42
199506   2.93
199507   2.56
199508   0.16
199509   2.90
199510   4.16
199511  -0.68
199512   2.52
199601   0.54
199602   0.59
199603  -1.84
199604  -0.88
199605   1.54
199606   0.98
199607  -0.16
199608   0.01
199609   2.70
199610   3.79
199611  -2.37
199612   0.63
199701   1.96
199702  -2.13
199703   0.90
199704   4.84
199705  -5.17
199706   2.60
199707   3.77
199708  -2.56
199709   1.47
199710  -0.57
199711   0.33
199712   3.98
199801   0.14
199802  -1.12
199803   2.15
199804   0.74
199805   1.82
199806   7.28
199807   3.69
199808   1.84
199809  -0.81
199810  -5.37
199811   1.20
199812   8.92
199901   3.03
199902  -0.10
199903  -1.27
199904  -9.04
199905  -5.19
199906   5.06
199907   1.66
199908   3.12
199909   6.47
199910   5.50
199911   5.64
199912  13.22
200001   1.92
200002  18.20
200003  -6.83
200004  -8.39
200005  -8.98
200006  16.60
200007  -0.05
200008   5.73
200009   1.97
200010  -4.48
200011  -2.32
200012   6.74
200101 -25.30
200102  12.57
200103   8.55
200104  -7.90
200105   2.21
200106   0.38
200107   5.58
200108   5.53
200109  11.48
200110  -8.47
200111  -8.69
200112   0.07
200201   3.75
200202   6.82
200203  -1.64
200204   7.63
200205   3.16
200206   6.03
200207   3.77
200208   1.90
200209   9.13
200210  -5.58
200211 -16.33
200212   9.64
200301   1.55
200302   1.17
200303   1.48
200304  -9.33
200305 -10.70
200306  -1.00
200307  -0.24
200308  -0.62
200309  -0.19
200310   3.99
200311   1.46
200312  -5.57
200401   2.58
200402  -1.14
200403   0.17
200404  -5.38
200405   1.50
200406   2.05
200407  -2.29
200408  -1.59
200409   5.49
200410  -1.38
200411   3.16
200412  -2.87
200501   3.05
200502   3.37
200503   0.41
200504  -0.69
200505   0.45
200506   2.05
200507   0.06
200508   2.08
200509   3.43
200510  -1.39
200511   0.35
200512   0.77
200601   2.53
200602  -1.84
200603   1.26
200604   0.64
200605  -3.70
200606   1.54
200607  -2.12
200608  -3.38
200609  -0.96
200610  -0.20
200611  -1.03
200612   0.79
200701   0.24
200702  -1.35
200703   2.56
200704  -0.24
200705  -0.34
200706   0.51
200707   2.94
200708   0.10
200709   4.63
200710   5.02
200711   0.99
200712   6.63
200801  -7.75
200802   6.10
200803   4.27
200804  -0.31
200805   3.31
200806  12.75
200807  -5.13
200808  -4.02
200809   0.28
200810   7.85
200811   7.17
200812  -5.09
200901  -2.18
200902   4.41
200903 -11.87
200904 -34.30
200905 -12.49
200906   5.48
200907  -5.55
200908  -9.07
200909  -4.79
200910   2.61
200911   0.30
200912   3.01
201001  -5.40
201002   3.74
201003   3.76
201004   3.16
201005  -0.25
201006  -2.76
201007   1.88
201008  -0.06
201009   1.41
201010   1.58
201011   2.66
201012  -3.03
201101  -0.29
201102   1.99
201103   3.40
201104   0.04
201105  -0.62
201106   1.78
201107   0.18
201108  -0.28
201109  -2.42
201110  -1.43
201111   3.84
201112   1.81
201201  -7.91
201202  -0.29
201203   1.30
201204   3.75
201205   6.49
201206  -1.06
201207   3.04
201208  -2.37
201209  -1.14
201210   0.14
201211   0.49
201212  -2.86
201301  -1.79
201302   1.29
201303   1.92
201304   0.22
201305  -2.02
201306   0.52
201307   1.76
201308   0.02
201309   3.06
201310   0.08
201311   0.44
201312   0.02
201401   1.71
201402   2.07
201403  -3.29
201404  -3.89
201405   0.87
201406   0.69
201407  -0.12
201408   0.82
201409   0.50
201410  -0.06
201411   0.68
201412   1.12
201501   3.84
201502  -2.82
201503   2.74
201504  -7.27
201505   5.82
201506   3.01
201507   9.98
201508  -2.09
201509   5.22
201510  -3.28
201511   2.28
201512   3.36
201601   1.44
201602  -4.38
201603  -5.01
201604  -6.02
201605   1.43
201606   4.15
201607  -3.34
201608  -3.48
201609   0.19
201610   0.59
201611  -4.63
201612  -0.25
201701  -0.93
201702  -1.65
201703  -1.03
201704   0.49
201705   1.48
201706  -0.11
201707   1.69
201708   3.30
201709  -1.33
201710   4.27
201711  -0.92
201712  -1.54
201801   4.05
201802   3.55
201803  -1.13
201804   0.37
201805   3.87
201806  -2.36
201807  -1.42
201808   5.28
201809   0.04
201810  -2.07
201811  -1.37
201812   2.11
201901  -8.66
201902   0.85
201903   2.19
201904  -2.97
201905   7.58
201906  -2.25
201907   2.88
201908   6.91
201909  -6.83
201910   0.15
201911  -2.64
201912  -1.87
202001   5.97
202002  -0.35
202003   7.96
202004  -5.26
202005   0.41
202006  -0.73
202007   7.59
202008   0.44
202009   3.14
202010  -3.20
202011 -12.47
202012  -2.38
202101   4.53
202102  -7.93
202103  -6.16
202104   1.22
202105   0.90
202106   2.16
202107  -2.31
202108   2.49
202109   1.50
202110   3.24
202111   0.86
202112  -2.74
202201  -2.62
202202   1.77
202203   2.97
202204   4.87
202205   2.46
202206   0.73
202207  -3.94
202208   2.10
202209   3.51
202210   3.96
202211  -1.98
202212   4.53
202301 -16.02
202302   0.13
202303  -2.45
202304   1.62
202305  -0.65
202306  -2.35
202307  -4.05
202308   3.77
202309   0.24
202310   1.68
202311   2.76
202312  -5.48
202401   5.08
202402   4.98
202403  -0.40
202404  -0.42
202405  -0.02
202406   0.90
202407  -2.42
202408   4.79
202409  -0.60
202410   2.87
202411   0.90
202412   0.05

Annual Factors:
January-December 
           Mom   
  1927  24.06
  1928  29.12
  1929  21.12
  1930  25.68
  1931  23.81
  1932 -21.75
  1933  19.26
  1934  18.56
  1935  23.36
  1936   5.84
  1937  -4.50
  1938  -2.64
  1939   0.34
  1940   5.80
  1941   9.23
  1942 -15.38
  1943  14.86
  1944  10.63
  1945  15.10
  1946   5.55
  1947  14.35
  1948  11.60
  1949   0.64
  1950  15.70
  1951  11.66
  1952   9.12
  1953  16.24
  1954  10.21
  1955  13.91
  1956  19.12
  1957   9.92
  1958  -9.73
  1959  19.60
  1960  17.30
  1961  11.35
  1962  11.98
  1963  11.65
  1964   4.25
  1965  20.78
  1966  10.36
  1967  22.63
  1968   2.23
  1969  10.00
  1970  -3.91
  1971   3.83
  1972  15.27
  1973  29.48
  1974   8.22
  1975 -18.90
  1976   7.44
  1977  17.64
  1978  11.85
  1979  26.55
  1980  37.17
  1981  -8.25
  1982  34.73
  1983 -10.48
  1984   8.91
  1985  14.68
  1986  10.41
  1987  -3.47
  1988  -5.01
  1989  27.76
  1990  18.31
  1991  14.70
  1992   3.43
  1993  23.69
  1994   3.21
  1995  18.04
  1996   6.39
  1997  11.45
  1998  23.09
  1999  35.19
  2000  15.41
  2001   4.43
  2002  25.70
  2003 -24.35
  2004  -0.43
  2005  14.81
  2006  -7.80
  2007  22.07
  2008  13.53
  2009 -83.13
  2010   6.92
  2011   7.17
  2012   1.32
  2013   7.49
  2014   1.02
  2015  20.48
  2016 -21.22
  2017   4.59
  2018   9.76
  2019  -2.71
  2020   7.33
  2021  -2.48
  2022  15.49
  2023 -24.30

Copyright 2024 Eugene F. Fama and Kenneth R. French
