{"id":40890458,"date":"2025-06-17T10:42:15","date_gmt":"2025-06-17T05:12:15","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890458"},"modified":"2025-06-17T10:42:16","modified_gmt":"2025-06-17T05:12:16","slug":"momentum-skip-month-ii","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2025\/06\/17\/momentum-skip-month-ii\/","title":{"rendered":"Momentum Skip Month (II)"},"content":{"rendered":"\n<p>Our <a href=\"https:\/\/stockviz.biz\/2023\/04\/14\/momentum-skip-month\/\">earlier post<\/a> on using a &#8220;skip&#8221; month for setting up momentum portfolios saw a slight advantage in skipping a month. However, it very will could have been because of path dependence.<\/p>\n\n\n\n<p>Going back to a 20-stock portfolio and separating out the monthly returns of stocks only in the &#8220;no-skip&#8221; portfolio (RET_NOSKIP) and those that are only in the one-month skipped portfolio (RET_SKIP) doesn&#8217;t really settle the debate in favor of skipping a month.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/momentum\/skip-month\/noskip-returns-distribution.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>The summary stats are similar as well.<\/p>\n\n\n\n<p>Perhaps the mean reversion that was observed prior to the early 90&#8217;s when the original paper was published is weaker now?<\/p>\n\n\n\n<p>Code on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/skip-month\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Our earlier post on using a &#8220;skip&#8221; month for setting up momentum portfolios saw a slight advantage in skipping a month. However, it very will could have been because of path dependence. Going back to a 20-stock portfolio and separating out the monthly returns of stocks only in the &#8220;no-skip&#8221; portfolio (RET_NOSKIP) and those that &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[3491],"class_list":["post-40890458","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-your-money","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890458","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890458"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890458\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890458"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890458"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890458"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}