High52
52-Week High — George and Hwang 2004
Momentum
Quick facts
| Factor ID | High52 |
| Display name | 52-Week High |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | George and Hwang 2004 |
| Source tables | daily;adj_factor |
| Required fields | close_adj |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,718 rows · 90.2% of panel |
Formula
close_adj / max(close_adj over t-252..t)
Adjusted close divided by the rolling 252-day adjusted-price maximum; values near one identify near-high winners.
China adaptation
Uses post-adjustment closes from Tushare so that splits and bonus-share issues do not artificially refresh the 52-week high.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | -0.2256% |
| Monthly std | 4.5549% |
| Annualized Sharpe | -0.17 |
| t-stat (simple) | -0.67 |
| Hit rate (months > 0) | 54.3% |
| Last 12M compounded | 21.58% |
| Cumulative wealth (start = 1) | 0.543 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.68% | 0.435 | 5046 |
| 2025-06 | +3.10% | 0.448 | 5055 |
| 2025-07 | +0.17% | 0.449 | 5057 |
| 2025-08 | +4.33% | 0.468 | 5062 |
| 2025-09 | -1.52% | 0.461 | 5069 |
| 2025-10 | +0.35% | 0.463 | 5075 |
| 2025-11 | +2.38% | 0.474 | 5081 |
| 2025-12 | +3.09% | 0.489 | 5088 |
| 2026-01 | +1.81% | 0.497 | 5095 |
| 2026-02 | +0.80% | 0.501 | 5099 |
| 2026-03 | +3.60% | 0.519 | 5105 |
| 2026-04 | +4.55% | 0.543 | 5101 |
Known data issues
Long suspensions create stale ratios until the window rolls past the suspension.
Notes
A-share daily price limits can dampen the speed at which stocks reach a new high and may compress this signal.
See also: Momentum family, Factor library, Factor returns.