The Intramonth Momentum Cycle

Daniel Nathan

Research

53 Pages

The authors argue that U.S. equity momentum is less about slow information diffusion and more about market plumbing. From 1980 to 2025, almost all momentum returns accrued during just six trading days before month end.

Key Takeaways

Momentum Is Concentrated: A $1 window only momentum strategy grew to $18.8, compared with $2.4 for the rest of the month.
Losers Drive Returns: Bottom decile losers underperformed by 7.2 basis points per day during the six day window.
Pattern Travels Globally: The authors replicated the same loser driven effect across 19 developed markets.
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