Why Seasonality Matters for Momentum ETFs
November 30, 2015 at 14:30 PM EST
Abstract: With Januaries (a month in which lagged “losers” typically outperform lagged “winners”) excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger for...
