Do shares exhibit a momentum effect from one month to the next?
If we selected the best performing shares in one month and created an equally-weighted portfolio of those shares to hold for the following month, would that portfolio outperform the market index? Or, more interestingly, if we did this systematically every month (i.e. our portfolio each month is comprised of the best performing shares in the previous month), would that portfolio outperform the market?
Previous editions of the Almanac analysed this for the companies in the FTSE 100. Here that study is updated, comparing for the first time momentum portfolios comprising each month the five and ten best performing shares from the previous month.
The following ...