New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it

For decades, investors using momentum strategies have followed a simple rule: ignore last month’s returns. This “skip-month” convention has been standard practice since the 1990s, designed to avoid short-term reversal effects where stocks that jump up one month tend to fall back the next.

But what if that ignored month is actually telling you something important?

Dibyam Dikhit, author of the January 2026 paper “ The Informational Role of the Most Recent Month in Industry-Level Momentum Strategies ,” examined nearly 50 years of industry-level returns and found that the most recent month contains economically meaningful information—not just noise to be filtered out.…