I'm writing my dissertation about mutual fund performance and I can't find the weekly (Mom) factor. If there is a formula to transform monthly to weekly, I thought I would ask here. Thanks.


Momentum is most often simply calculated based on monthly returns with a 12 month lookback and excluding the most recent month (ie, 11-1). There's no formula to 'transform' monthly momentum to weekly, but provided you have the underlying returns it's easy enough to do the calculation yourself.

  • $\begingroup$ Thanks Chris , I find a formula that someone used to transform to weekly Factor weekly=(Π(Factor daily/100+1)i∈day-1)×100 $\endgroup$ – Dan Jul 16 '19 at 23:17
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    $\begingroup$ If my response was helpful, please consider accepting my answer. $\endgroup$ – Chris Jul 17 '19 at 5:20
  • $\begingroup$ Chris' answer is in line with the underlying literature from "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency " : onlinelibrary.wiley.com/doi/abs/10.1111/… $\endgroup$ – Jacques Joubert Jul 17 '19 at 12:47
  • $\begingroup$ @Dan, that would get you from daily data to weekly, but that wasn't what you asked about. $\endgroup$ – Chris Jul 18 '19 at 19:21

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