MaxRet
Maximum Daily Return — Bali Cakici and Whitelaw 2011
Risk
Quick facts
| Factor ID | MaxRet |
| Display name | Maximum Daily Return |
| Family | Predictor |
| Category | Risk |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Bali Cakici and Whitelaw 2011 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,110 rows · 99.1% of panel |
Formula
max(ret over t-21 through t-1)
Maximum daily return during the prior month.
China adaptation
Use adjusted daily returns and keep limit-up events in the signal.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 0.9303% |
| Monthly std | 3.6075% |
| Annualized Sharpe | 0.89 |
| t-stat (simple) | 3.60 |
| Hit rate (months > 0) | 62.6% |
| Last 12M compounded | -9.65% |
| Cumulative wealth (start = 1) | 5.374 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.57% | 5.854 | 5129 |
| 2025-06 | +0.56% | 5.887 | 5139 |
| 2025-07 | -2.43% | 5.744 | 5143 |
| 2025-08 | -0.93% | 5.691 | 5147 |
| 2025-09 | +4.06% | 5.922 | 5150 |
| 2025-10 | +0.55% | 5.954 | 5152 |
| 2025-11 | -0.69% | 5.913 | 5162 |
| 2025-12 | +0.22% | 5.926 | 5167 |
| 2026-01 | -0.96% | 5.869 | 5175 |
| 2026-02 | +4.09% | 6.109 | 5180 |
| 2026-03 | -5.29% | 5.785 | 5187 |
| 2026-04 | -7.11% | 5.374 | 5172 |
Known data issues
Suspension and relisting gaps can create extreme single-day returns.
Notes
Lottery demand is especially relevant in retail dominated A-shares.
See also: Risk family, Factor library, Factor returns.