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I have 7 year prices of a group of stocks and index prices for the same time period now I want to calculate momentum factor, depending on the three relevant parameters (rebalancing frequency, rolling window, proportion of the universe to trade).

Does anyone have any relevant examples or paper?

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  • $\begingroup$ For example: every month (frequency) you form a portfolio based on last 6 month returns (rolling window), the long portfolio contains the top 10% (proportion) and the short portfolio contains the bottom 10% of stocks. $\endgroup$ – Alex C Dec 3 '19 at 16:55
  • $\begingroup$ Fama French compute the Momentun Factor as follows mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/… $\endgroup$ – Alex C Dec 3 '19 at 16:57

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