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.