Constructing Weekly Momentum from Underlying Returns

Summary

The discussion addresses whether a weekly momentum factor can be obtained by transforming an existing monthly factor. The answer says there is no direct formula for converting monthly momentum into weekly momentum. Instead, the factor should be calculated from the underlying return observations at the desired frequency. It describes a common momentum convention as using a twelve-month lookback while excluding the most recent month, often called an eleven-to-one formation period.

This guidance distinguishes changing the sampling frequency from merely rescaling a previously computed factor. A weekly series therefore requires return data at the relevant underlying frequency and an explicitly chosen lookback and skip convention. The response is brief: it does not specify a weekly lookback window, portfolio formation rules, weighting, rebalancing, or a particular published factor definition. Researchers reproducing a mutual-fund or asset-pricing study should match that study’s construction choices rather than assume the conventional monthly window automatically defines a weekly version.

Key ideas

• Monthly momentum cannot be converted mechanically into weekly momentum using a simple formula.
• A momentum factor can be computed at the desired frequency when the underlying returns are available.
• A common monthly convention uses a twelve-month lookback and excludes the latest month.
• A weekly implementation needs its own explicitly specified observation window and construction rules.
• The brief answer does not provide a standard weekly factor definition or portfolio methodology.

Tags

# Momentum factor (mom) weekly


# Momentum factor (mom) weekly












I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.

## Answer by Chris (score 1)

https://quant.stackexchange.com/a/46671

Momentum is most often simply calculated based on monthly returns with a 12 month lookback and excluding the most recent month (ie, 11-1). There's no formula to 'transform' monthly momentum to weekly, but provided you have the underlying returns it's easy enough to do the calculation yourself.

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