IntMom
Intermediate Momentum — Novy-Marx 2012
Momentum
Quick facts
| Factor ID | IntMom |
| Display name | Intermediate Momentum |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Novy-Marx 2012 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2011-02-24 – 2026-05-15 · 611,285 rows · 89.2% of panel |
Formula
prod(1 + ret over t-252..t-147) - 1
Compounded return from approximately months 7 to 12 ago.
China adaptation
Uses trading-day windows.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 183 |
| Monthly mean | -0.0903% |
| Monthly std | 3.3409% |
| Annualized Sharpe | -0.09 |
| t-stat (simple) | -0.37 |
| Hit rate (months > 0) | 48.1% |
| Last 12M compounded | 6.98% |
| Cumulative wealth (start = 1) | 0.765 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.41% | 0.732 | 5043 |
| 2025-06 | -1.52% | 0.721 | 5052 |
| 2025-07 | +2.97% | 0.742 | 5051 |
| 2025-08 | -0.27% | 0.740 | 5055 |
| 2025-09 | -3.74% | 0.712 | 5062 |
| 2025-10 | -2.02% | 0.698 | 5067 |
| 2025-11 | +2.75% | 0.717 | 5074 |
| 2025-12 | -1.01% | 0.710 | 5080 |
| 2026-01 | +1.54% | 0.721 | 5085 |
| 2026-02 | -0.57% | 0.717 | 5090 |
| 2026-03 | +4.96% | 0.752 | 5099 |
| 2026-04 | +1.63% | 0.765 | 5086 |
Known data issues
Long suspensions can create oversized adjusted returns.
Notes
Intermediate momentum (Novy-Marx 2012) does not replicate in A-shares. Consistent with the broader failure of momentum in China.
See also: Momentum family, Factor library, Factor returns.