DolVol
Dollar Volume — Chordia Subrahmanyam and Anshuman 2001
Liquidity
Quick facts
| Factor ID | DolVol |
| Display name | Dollar Volume |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Chordia Subrahmanyam and Anshuman 2001 |
| Source tables | daily |
| Required fields | amount |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,541 rows · 99.2% of panel |
Formula
ln(mean(amount over t-21 through t-1))
Natural log of average RMB trading amount over the prior month.
China adaptation
Treat amount as RMB turnover from the local market data feed rather than USD volume.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 2.0623% |
| Monthly std | 4.6698% |
| Annualized Sharpe | 1.53 |
| t-stat (simple) | 6.17 |
| Hit rate (months > 0) | 70.8% |
| Last 12M compounded | -1.53% |
| Cumulative wealth (start = 1) | 43.715 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +1.16% | 44.908 | 5129 |
| 2025-06 | +3.34% | 46.409 | 5140 |
| 2025-07 | -6.91% | 43.203 | 5143 |
| 2025-08 | -0.05% | 43.182 | 5147 |
| 2025-09 | +6.70% | 46.076 | 5150 |
| 2025-10 | +5.52% | 48.619 | 5154 |
| 2025-11 | -4.82% | 46.274 | 5162 |
| 2025-12 | +0.61% | 46.559 | 5168 |
| 2026-01 | -0.34% | 46.402 | 5179 |
| 2026-02 | +4.53% | 48.503 | 5180 |
| 2026-03 | -5.95% | 45.617 | 5187 |
| 2026-04 | -4.17% | 43.715 | 5175 |
Known data issues
May overlap mechanically with size and liquidity.
Notes
Amount is RMB not USD but log scale preserves ranking.
See also: Liquidity family, Factor library, Factor returns.