We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However …, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and … kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually …

In this paper, using a range of technical trading and momentum trading strategies, we show that the Indian stock market …