Consistent Momentum: Long Persistent Winners and Short Persistent Losers

Summary

This strategy forms a dollar-neutral stock portfolio by identifying securities that rank among the strongest or weakest performers over two overlapping six-month return windows. It buys stocks in the top decile in both windows and shorts those in the bottom decile in both, using equal weights. The source describes a one-month gap between signal formation and the holding period, a six-month holding period without rebalancing, and a universe implementation based on the 500 most liquid US stocks.

The document provides implementation details for universe filtering, rolling price history, ranking, and scheduled portfolio updates, but reports no backtest results or performance evidence. Its code also applies leverage and a fee model, while the portfolio construction and universe differ in some respects from the cited research description. The strategy’s returns, turnover, shorting costs, survivorship effects, and sensitivity to the chosen universe are not assessed here.

Key ideas

• The strategy selects stocks that rank consistently in the same return decile across two overlapping momentum windows.
• It buys persistent winners and shorts persistent losers with equal weights.
• The portfolio is formed monthly and held for six months without rebalancing.
• The implementation narrows the universe to liquid US stocks and applies leverage.
• The document gives no backtest results to establish profitability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.