Momentum (12–1 months)
Tailwind over the last 12 months (excluding the most recent month)
Description
Momentum (12–1) is a classic “tailwind” metric: it looks at the past 12 months but intentionally excludes the most recent month.
Why? Over a one-month horizon, a few days (earnings, macro news, sentiment) can dominate. Excluding the last month is commonly used in studies (“12–1 momentum”).
Depending on the market we approximate ~252 trading days (stocks/ETFs) and then skip about 1 month (~21 trading days or ~30 calendar days).
Source
Calculation
- 1) Set skip = ~21 days (stocks/ETFs) or ~30 days (crypto).
- 2) momentum_12m = (price_1m_ago / price_12m_ago) − 1
- Example: +0.25 means the price one month ago was 25% above the level 12 months ago.
Interpretation
- Higher is better.
- Very high momentum can also be a sign of overheating — checking drawdowns/volatility helps as a sanity check.
Ranking
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