Momentum-Based Quantitative Strategy in Equity Investing

In an attempt to enhance portfolio performance, an institutional investor is considering implementing a quantitative equity strategy. This strategy is centered around momentum investing, where stocks that have performed well in the past are expected to continue their upward trajectory. The investor plans to use a screening model that identifies the top quartile of stocks based on their past six-month price performance, while simultaneously filtering out stocks with below-average market capitalization.

Which of the following statements correctly describes a key characteristic of this momentum-based quantitative strategy?