New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it
For decades, investors using momentum strategies have followed a simple rule: ignore last month’s returns. This “skip-month” convention has been standard practice since the 1990s, designed to avoid short-term reversal effects where stocks that jump up one month tend to fall back the next.
But what if that ignored month is actually telling you something important?
Dibya...
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