In this paper, we decompose the decomposition of Lo and MacKinlay (1990). We find that the positive autocorrelation and the negative cross-serial correlation in Lo and MacKinlay’s decomposition have asymmetric characteristics between winners and losers. The positive autocorrelation is mainly from winners and the negative cross-serial correlation from equally winners and losers. By investigating time-series fluctuation of auto- (cross-serial) correlations, we find that decreased cross-serial correlations between winners and losers are the most
important source for the momentum profit. We analyze the contrarian profit in Korea, the other side of the coin of the momentum profit. Again, we find that cross-serial correlations of individual stocks play a major role in the profitability of an intermediate-horizon trading strategy.