The Skip-Month Mystery: What Last Month’s Returns Are Really Telling You (opens in new tab)

New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed a simple rule: ignore last month's returns. This "skip-month" convention has been standard practice since the 1990s, designed to avoid short-term reversal effects where stocks that jump up one month [...] The Skip-Month Mystery: What Last Month’s Returns Are Really Telling You was originally published at Alpha Ar...