Momentum investing, buying past winners and selling past losers, has long challenged the Efficient Market Hypothesis. This study uses an intermediate past return strategy to investigate whether such momentum strategies remain effective in the Swedish stock market by analysing the performance of small and big stocks. Building on prior literature, including studies by Jegadeesh and Titman (1993) and Novy-Marx (2012), the study examines whether past stock performance over a 12-to-7-month period can predict future one-month returns. The analysis reveals a reversal pattern in small stocks, where past winners significantly underperform. In contrast, big stock winners deliver strong positive returns over the period, though overall momentum profits are insignificant due to the strong performance of the loser portfolio. Hence, both zero-cost portfolios (WML) underperformed during the sample period. These findings contrast with earlier research documenting positive momentum profits and suggest that firm size has a critical role in momentum effectiveness. The study contributes to the existing literature by providing updated evidence from the Swedish market and offers practical insights for retail investors seeking to apply momentum strategies.