Zoom in on momentum

Portfolios sorted by momentum show stronger return monotonicity than those formed using other anomalies. Compared with other strategies, the performance of such a momentum strategy improves monotonically with the number of portfolios. These improvements are significant beyond the influences of the usual pricing factors. Momentum factors based on more portfolios span those based on fewer portfolios, whereas the opposite effects do not hold. The evidence reported in this study suggests that a momentum factor formed on more than 10 portfolios sharpens the factor and its stylized facts. •Portfolios sorted by momentum show stronger return monotonicity than those by others.•The performance of the momentum factor improves with the number of portfolios.•Usual pricing factors do not span this improvement.•More-portfolio momentum spans its fewer-portfolio counterpart, but not vice versa.•Other factors except asset growth seldom show such an improvement.