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Quantitative Momentum (Quarter-ending months)

"Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based..."
(Authors: Wesley R. Gray, Jack R. Vogel)

Quarter-ending months generally have the highest returns when comparing low and high momentum portfolios. Once momentum-profits are...

Momentum Seasonality (1927 - Dec. 2014)

...the largest in quarter-ending months, and this is likey driven by managers who are window dressing their portfolios, one might hypthesise that rebalacning before these quarter-ending months will yield the hightest returns...