Hi

When talking about momentum investing and the portfolios are constructed monthly using prior (2-12) return decile breakpoints. What does that mean when translating to formation period and holding period when building the strategy with crsp data?

Eg. Jeegadesh & Titman use 6x6 refered to the first 6 is 6 month formations period and the last 6 is 6 month holdig period .

Thanks .

hi,

I’ve posted your question on the Google group; I’ll post any replies here.

Best Regards,

Joost