The following graphic takes returns from 422 of the current S&P 500 constituents over different periods from 2002 (their shared data start date).  Returns are split into 5% buckets.  What we see is that you are just as likely to see a 15-20% return over a 3 month period as you are over a 7 month period.

Return Breakdown over time

To us, this demonstrates the importance of removing time from the momentum equation; the term structure of returns is rough, volatile, and ever changing.  By constraining ourselves to evaluate momentum over a fixed time horizon restricts the opportunities we can pursue.

For another look at momentum across asset classes for different time periods, see this post.

Corey is co-founder and Chief Investment Officer of Newfound Research, a quantitative asset manager offering a suite of separately managed accounts and mutual funds. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. Prior to offering asset management services, Newfound licensed research from the quantitative investment models developed by Corey. At peak, this research helped steer the tactical allocation decisions for upwards of $10bn. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. You can connect with Corey on LinkedIn or Twitter.