IndMom
Industry Momentum — Grinblatt and Moskowitz 1999
Momentum
Quick facts
| Factor ID | IndMom |
| Display name | Industry Momentum |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Grinblatt and Moskowitz 1999 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2010-08-17 – 2026-05-15 · 672,301 rows · 98.1% of panel |
Formula
mean(Mom6m) within SW L1 industry
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 189 |
| Monthly mean | 0.3856% |
| Monthly std | 3.8386% |
| Annualized Sharpe | 0.35 |
| t-stat (simple) | 1.38 |
| Hit rate (months > 0) | 52.4% |
| Last 12M compounded | 13.82% |
| Cumulative wealth (start = 1) | 1.803 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.26% | 1.549 | 5133 |
| 2025-06 | -1.23% | 1.530 | 5145 |
| 2025-07 | +0.23% | 1.533 | 5148 |
| 2025-08 | -3.15% | 1.485 | 5149 |
| 2025-09 | -2.17% | 1.452 | 5157 |
| 2025-10 | -1.74% | 1.427 | 5161 |
| 2025-11 | +5.37% | 1.504 | 5167 |
| 2025-12 | +6.99% | 1.609 | 5181 |
| 2026-01 | +5.51% | 1.698 | 5182 |
| 2026-02 | -5.32% | 1.607 | 5185 |
| 2026-03 | +9.20% | 1.755 | 5191 |
| 2026-04 | +2.76% | 1.803 | 5184 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.