The core objective of this study is to examine the sensitivity between market volatility and profitability of momentum by inducting 50 listed companies on the Dhaka stock exchange for the period of 2003 to 2021. By extending the theme of this study, the researcher also examines the relationship between losers and winners of portfolio and other market factors such as market volatility, momentum, and business cycle movement. A random base sampling technique has been used to conduct this study. An ordinary least square (OLS) approach on the basis of time series regression has been inducted to examine the significance of market volatility, profitability of momentum, and business cycle movement. This study concludes that, particularly in the negative stage, market volatility has a significant influence on the scope of momentum profitability. Furthermore, this study shows the significant existence of both markets (volatility, momentum) and business cycle variables in Dhaka’s market. After distributing the market volatility into positive and negative states, we conclude that both have significant and negative conditions. This study recommended investment and momentum strategies to both individual and institutional investors on the basis of market volatility and business cycle movement. This study implies that low momentum profitability can be predicted in a volatile slow market. This study gives theoretical and empirical insight into momentum profitability, volatility of the market, and variables linked with business cycle movement from the perspective of the Dhaka market. The same model and pattern can be used to check out the consistency in other emerging base countries.