Glossary term

Momentum

The tendency for recent winners to keep outperforming for a while.

Momentum ranks assets by recent performance and favors the stronger names. It is usually tested across a universe, not by asking whether one asset predicts itself.

Example: A 12-1 momentum signal ranks stocks by their return from 12 months ago to 1 month ago.

Where this appears

Systematic momentum: what to look at Why diversification kills momentum