Saturday morning, friend forwards a smallcase that is red 18 pct YTD
Momentum is not the stocks that have been rising. It is the stocks that ran for twelve months, paused for one, and got bought before the screen everyone else is running spotted them. Two letters of the alphabet decide whether you are early or late.
The look-back
12 months
Trailing return window for the rank
The skip
1 month
Latest month dropped . short-term reversal
The hold
3 to 6 months
Before re-ranking the universe
Jegadeesh and Titman wrote the rule in 1993. Past twelve months minus the latest month. Most retail "momentum" portfolios skip the skip and buy last month's winners. That is the part that quietly costs you.