Factor families

Momentum factor

In plain English

Stocks that have been going up recently tend to keep going up; the ones falling tend to keep falling — for medium horizons.

How it works

George-Hwang 2004: distance to the 52-week high predicts returns — investors anchor on the high and under-react near it. We use the 52-week-range position + short-term price action + revenue acceleration, NOT the Jegadeesh-Titman 12-1 construction. High momentum = trading strong near its high with business momentum behind it.

Where you see this in Framler
Momentum card. Momentum-driven confluence patterns.
Primary citation
George-Hwang 2004, The 52-week high and momentum investing

Related — Factor families

Quality factor (Novy-Marx)Value factor (Fama-French)PEAD (Post-earnings drift)Accruals signal (Sloan)Short interest (Asquith)Insider flow (Seyhun)

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Momentum factor — Framler glossary | Framler