MRreversal
Medium-Run Reversal — De Bondt and Thaler 1985
Reversal
Quick facts
| Factor ID | MRreversal |
| Display name | Medium-Run Reversal |
| Family | Predictor |
| Category | Reversal |
| Direction | lower_expected_return |
| Status | supported |
| Paper | De Bondt and Thaler 1985 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2011-07-29 – 2026-05-15 · 583,169 rows · 85.1% of panel |
Formula
prod(1 + ret over t-378..t-273) - 1
Compounded return from approximately months 13 to 18 ago.
China adaptation
Uses trading-day windows.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 178 |
| Monthly mean | 0.2803% |
| Monthly std | 2.8391% |
| Annualized Sharpe | 0.34 |
| t-stat (simple) | 1.32 |
| Hit rate (months > 0) | 56.7% |
| Last 12M compounded | 1.52% |
| Cumulative wealth (start = 1) | 1.531 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +4.96% | 1.583 | 4996 |
| 2025-06 | +1.68% | 1.610 | 5010 |
| 2025-07 | -2.50% | 1.570 | 5021 |
| 2025-08 | -1.13% | 1.552 | 5028 |
| 2025-09 | +0.07% | 1.553 | 5036 |
| 2025-10 | +1.83% | 1.581 | 5041 |
| 2025-11 | -1.07% | 1.564 | 5044 |
| 2025-12 | +3.08% | 1.613 | 5046 |
| 2026-01 | +1.45% | 1.636 | 5049 |
| 2026-02 | +2.50% | 1.677 | 5052 |
| 2026-03 | -3.84% | 1.613 | 5058 |
| 2026-04 | -5.04% | 1.531 | 5048 |
Known data issues
Pre-2012 panel coverage is thinner.
Notes
Shorter-horizon variant of LRreversal.
See also: Reversal family, Factor library, Factor returns.