In the past 20 years, momentum or trend following strategies have become an established part of

the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the

information ratio (IR, average return divided by standard deviation). We calculate the theoretical IR

of a momentum strategy, and show that if momentum is mainly due to the positive autocorrelation in

returns, IR as a function of the portfolio formation period (look-back) is very di
erent from momentum

due to the drift (average return). The IR shows that for look-back periods of a few months, the investor

is more likely to tap into autocorrelation. However, for look-back periods closer to 1 year, the investor

is more likely to tap into the drift. We compare the historical data to the theoretical IR by constructing

stationary periods. The empirical study nds that there are periods/regimes where the autocorrelation

is more important than the drift in explaining the IR (particularly pre-1975) and others where the drift

is more important (mostly after 1975). We conclude our study by applying our momentum strategy

to 100 plus years of the Dow-Jones Industrial Average. We report damped oscillations on the IR for