I am currently following average of 12/6/3 months sharpe returns…But when I checked, monthly sharpe returns and 3 month sharpe return based rank list has given better returns. But many momentum investors recommend avearge of 3 periods. I feel that 1 month or 3 month period based rank will catch the stocks at early level, around nearby breakout while averaging of 12 months and 6 months will be late entry after a big move…Thats why Asking it.
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