Momentum
By Sitraka Forler · Lecturer, Durham Business SchoolUpdated 13 September 2026 About this site
The tendency of recent winners to keep outperforming.
Cross-sectional momentum ranks stocks by their return over a look-back window (e.g. 20 days) and bets that top performers continue to outperform. It is one of the most replicated factors in academic finance.
Example
momentum = prices / prices.shift(20) - 1