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Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets

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  • Pätäri, Eero
  • Ahmed, Sheraz
  • Luukka, Pasi
  • Yeomans, Julian Scott

Abstract

We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within a lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36 double-sort criteria across three holding period lengths in the non-microcap universe of U.S. stocks over the 55-year sample period, MRRO is particularly useful for annual holding periods, towards the end of whom the conventional return-momentum indicators tend to lose their prediction power. Based on the return-based style analysis, MRRO adds some favorable style-diversification characteristics into long-only momentum portfolio selection.

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  • Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074
    DOI: 10.1016/j.najef.2023.101884
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    Keywords

    Momentum; Anomaly; Cost mitigation; Trading costs; Post-cost performance; Portfolio management;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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