Worst absolute momentum payoffs
| Rank | Month | Absolute momentum | MKT | MKT-2Y |
|---|---|---|---|---|
| 1 | 2020:06 | −37.49% | 7.09% | −5.39% |
| 2 | 2009:05 | −30.73% | 27.72% | −19.20% |
| 3 | 2009:04 | −24.27% | 16.06% | −28.72% |
| 4 | 2004:09 | −23.36% | 7.22% | 82.60% |
| 5 | 2001:11 | −22.91% | 11.40% | 21.63% |
| Rank | Month | Absolute momentum | MKT | MKT-2Y |
|---|---|---|---|---|
| 1 | 2020:06 | −37.49% | 7.09% | −5.39% |
| 2 | 2009:05 | −30.73% | 27.72% | −19.20% |
| 3 | 2009:04 | −24.27% | 16.06% | −28.72% |
| 4 | 2004:09 | −23.36% | 7.22% | 82.60% |
| 5 | 2001:11 | −22.91% | 11.40% | 21.63% |
Note(s): Table 2 outlines the five worst monthly payoffs of relative momentum. This table also reports concurrent month market return (MKT) and lagged 24 months market return (MKT-2Y)
Source(s): Own elaboration
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