Equity cross-sectional momentum

In plain terms

Across a large universe of stocks, recent winners tend to keep outperforming recent losers for a while. This ranks the cross-section and trades the spread.

How it works

Stocks are ranked by trailing relative return — long the top, short the bottom — with the market and obvious factors stripped out.

What it’s tested against

Out-of-sample on a survivorship-correct panel, costs stressed, with factor exposures removed so the residual is what is judged.

Data

CRSP / Compustat point-in-time US-equity panel.

Researched — the momentum factor on a clean panel.