Include 1m negative auto correlation into the momentum rank
Is there a reason that the 1m negative auto-correlation is excluded from the momentum rank?
This is a very delayed response. We did consider adding in the 1 month reversal into the Momentum Rank. We did though find that this prioritised high relative strength stocks that had suffered a big recent decline.
I think it would be preferable to use the academic definition of price momentum which excludes the most recent month’s performance. We’re planning on this for 2016.