Momentum Factor: Intra vs Cross-Sector

May the Force Be with You…

INTRODUCTION

Gravity is one of the fundamental laws of nature and every planet is affected by it, although the force of gravity might be quite different depending on the mass of the planet. We believe that factors are comparable to gravity in the sense that charts and metrics might look slightly different depending on how the factor is defined and what assumptions are used, but you can’t escape gravity and the trend will look similar. In this short research note we will analyse the Momentum factor and see how different the profiles look when the factor is calculated intra versus cross-sector.

METHODOLOGY