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 …

A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign … using a universe of commodity and financial futures offers supporting evidence for the existence of such momentum …. Investment strategies based on return signal momentum result in higher returns and Sharpe ratios and lower drawdown relative to …

losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A … strategy that buys small value winners and sells large growth losers generates significantly larger momentum profits than a … standard momentum strategy, is robust to common return controls, and does not suffer from return reversals for holding periods …

according to the CAPM …