Before revision:  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 different from momentum due to the drift (average return).
After revision:  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 different from momentum due to the drift (average return).