Medium-Term Momentum factor
The 20-day return minus the 5-day return: the past month's move, excluding the last week. Part of FactorPulse's FPUS1 model (Style).
The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity, Growth, Value, Leverage, Profitability, Dividend Yield, Short Interest and Hedge-Fund Ownership (position 14 of 18 style factors).
Last 12 months
Full history
History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.
Statistics
| Period | Return | Volatility (ann.) | Return / risk | Max drawdown |
|---|---|---|---|---|
| 1M | -1.76% | 4.8% | -4.36 | -2.20% |
| 3M | -1.87% | 5.0% | -1.49 | -3.22% |
| YTD | +1.51% | 5.6% | +0.33 | -3.85% |
| 1Y | +2.43% | 5.2% | +0.46 | -3.85% |
| Since Jul 2026 (live) | -1.31% | 5.6% | -0.78 | -3.22% |
| Since 2020 (incl. simulated) | +7.10% | 4.7% | +0.22 | -7.86% |
Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.
Large companies most and least exposed today
Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, 1-month moves trend; when it is negative, 1-month moves reverse.
Highest exposure
- Moderna, Inc. MRNA +4.26 · $86B
- Roblox Corporation RBLX +3.73 · $38B
- Atlassian Corporation TEAM +3.36 · $56B
- Accenture PLC ACN +2.64 · $149B
- MongoDB, Inc. MDB +2.63 · $32B
- Bending Spoons S.p.A. BSP +2.47 · $30B
- Shopify Inc. SHOP +2.39 · $216B
- Genmab A/S ADS GMAB +2.36 · $35B
- Tesla, Inc. TSLA +2.31 · $1.6T
- Zscaler, Inc. ZS +2.21 · $42B
Lowest exposure
- Chipotle Mexican Grill, Inc. CMG -3.22 · $36B
- Seagate Technology Holdings PLC STX -3.08 · $161B
- Sea Limited SE -2.98 · $46B
- SK hynix Inc. SKHY -2.69 · $1.2T
- Alnylam Pharmaceuticals, Inc. ALNY -2.60 · $31B
- AT&T Inc. T -2.51 · $139B
- Banco Bradesco S.A. BBD -2.28 · $31B
- T-Mobile US, Inc. TMUS -2.07 · $157B
- Verizon Communications VZ -1.95 · $179B
- NetFlix Inc NFLX -1.90 · $258B
What it moves with
Most positively correlated factors (1 year)
- Short Interest +0.25
- One-Day Momentum +0.18
- Oil +0.17
Most negatively correlated factors
- Liquidity -0.22
- Hedge-Fund Ownership -0.17
- Beta -0.13
Correlation with ETFs
| ETF | 1 year | 3 months |
|---|---|---|
| SPY S&P 500 | -0.06 | +0.06 |
| IWM Small caps | -0.06 | -0.12 |
| TLT Long Treasuries | +0.00 | -0.05 |
| USO Oil | +0.06 | +0.16 |
| SMH Semiconductors | -0.02 | -0.23 |
| GLD Gold | +0.05 | +0.28 |
| XLU Utilities | -0.14 | -0.26 |
| BITO Bitcoin futures | -0.09 | +0.37 |
| KWEB China internet | -0.02 | -0.00 |