Momentum can be displayed across different forms, and it seems as though each has different forms of persistence:
- beta
- country
- factor/style
- industry
- stock
The factor and industry momentum are strongly persistent over the short and intermediate run. Stock-specific momentum is persistent over the intermediate but not the short run. Beta and country momentum do not show persistence. This has important implications for how we use the momentum factor. These issues are described in the paper, "Optimizing the persistence of price momentum: which trends are your friends." The critical takeaway from this work is that while momentum is pervasive, there are areas or pockets of momentum persistence that can be exploited. These points of persistence are extreme with factor and industry tilts. Industry behavior moves together as well as factor behavior. This is not found in the overall market or with individual stocks.
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