Momentum is primarily driven by firms' performance twelve to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance do generate positive returns, but are less profitable than strategies based on intermediate horizon past performance, especially among the largest, most liquid stocks. The performance of two types of strategies are correlated, however, even when explicitly constructed to be neutral with respect to the past performance characteristic on which the other strategy is formed, especially over the second half of the CRSP sample. As a result, over the last forty years strategies based on recent past performance do not contribute significantly to the investment opportunity set of an investor already trading momentum based on inter-mediate horizon past performance and the three Fama-French factors. These facts are not particular to the momentum observed in the cross-section of US equities. Similar results hold for momentum strategies trading international equity indices, commodi-ties and currencies.