Does factor momentum span stock momentum in the UK?

We examine whether Ehsani and Linnainmaa’s (2022) factor-autocorrelation account of stock momentum extends to the UK, a market in which momentum is well established but its relationship with the wider factor structure remains unsettled. Using a broad set of UK factor returns spanning nearly four decades, we find that time-series factor momentum spans the conventional momentum factor. This interpretation is reinforced by persistent factor returns, correlations with stock momentum that reverse with the sign of prior factor performance, and stronger momentum among the principal components that capture the greatest share of common factor variation. The full-sample finding is not stable through time: conventional momentum retains a significant alpha before 2006, but no residual alpha is detectable thereafter. Factor momentum also fails to span the wider UK factor universe. A momentum strategy formed from Fama–French residual returns, together with several valuation- and profitability-related factors, continues to earn sizeable alphas, whereas the Amihud illiquidity factor does not. The results show that Ehsani and Linnainmaa’s spanning result survives a dedicated UK test, but only in a specific rather than general sense: factor momentum spans conventional stock momentum, but not the residual-momentum factor or the broader cross-section of UK factor returns.