Knowledge center · Factor library
12-1 Month Momentum
Price return over the past year, skipping the most recent month.
Formula
t-statistic of the price return from 231 to 21 trading days ago (skips the most recent ~month)
Interpretation
Stocks that outperformed over the past year, excluding the most recent month, have historically kept outperforming over the following months — the classic momentum anomaly.
What good looks like
A strong, statistically significant positive reading — sustained outperformance over the lookback.
What bad looks like
A strong negative reading — sustained underperformance.
Typical range
Z-scored and capped at roughly ±3; most stocks sit within ±1.5.
Limitations
Momentum can reverse sharply in a regime change (a rate-cut pivot, a sector rotation) — the factor reacts to that once it shows in price, it cannot anticipate it.
How OmniSignal uses it
One of the most extensively documented and persistent equity anomalies; skipping the most recent month specifically removes the short-term reversal effect the model captures as its own separate factor.
Where it enters the score
Momentum family
References
Jegadeesh & Titman (1993), "Returns to Buying Winners and Selling Losers"
Related concepts