A Reexamination of Factor Momentum：How Strong is It？

Recent studies have shown that most financial market anomalies exhibit a momentum effect. Based on a dataset covering 20 factors, we find that the factor momentum effect is weak in general. Six factors exhibit strong return continuation and dominate the factor momentum portfolio, while the remaining 14 factors do not. The choice of factors affects the ability of factor momentum to explain individual stock momentum. We uncover why the betting against beta factor exhibits the strongest factor momentum. This is because of its unique rank weighting scheme, whereas all the remaining factors are based on value-weighted portfolios.