This paper examined the performances of price momentum and industry momentum investment strategies, we also studied these two strategies' performances during short-term period. We used the data of the firms listed on Taiwan Stock Exchange to test the performances of the portfolios during a period from January 1992 to December 2007. Our paper found that there was no price momentum performance within one year, but the industry momentum performance existed within three years and showed long-lasting impact. Furthermore, similar results were also found during short-term period. So no matter which time horizon we analyzed, we should regard industry as an important factor that would affect momentum performance. We also found it was more appropriate for investors who are seeking short-term weekly returns to build short-term momentum portfolio based on weekly returns rather than monthly returns