Mom12m
12-1 Momentum — Jegadeesh and Titman 1993
Momentum
Quick facts
| Factor ID | Mom12m |
| Display name | 12-1 Momentum |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Jegadeesh and Titman 1993 |
| 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 through t-21) - 1
Compound return over the prior twelve months skipping the most recent month.
China adaptation
Use trading-day windows to avoid calendar gaps from suspensions and holidays.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 183 |
| Monthly mean | -0.0946% |
| Monthly std | 4.2154% |
| Annualized Sharpe | -0.08 |
| t-stat (simple) | -0.30 |
| Hit rate (months > 0) | 52.5% |
| Last 12M compounded | 16.07% |
| Cumulative wealth (start = 1) | 0.714 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.85% | 0.620 | 5043 |
| 2025-06 | -2.11% | 0.607 | 5052 |
| 2025-07 | +5.04% | 0.638 | 5051 |
| 2025-08 | -2.45% | 0.622 | 5055 |
| 2025-09 | -3.58% | 0.600 | 5062 |
| 2025-10 | -4.08% | 0.575 | 5067 |
| 2025-11 | +6.93% | 0.615 | 5074 |
| 2025-12 | +1.98% | 0.627 | 5080 |
| 2026-01 | +3.18% | 0.647 | 5085 |
| 2026-02 | -3.48% | 0.625 | 5090 |
| 2026-03 | +10.42% | 0.690 | 5099 |
| 2026-04 | +3.46% | 0.714 | 5086 |
Known data issues
Long suspension gaps can create oversized adjusted returns.
Notes
A-share momentum is weak or absent at the 12-month horizon. Liu-Stambaugh-Yuan (2019) document this and attribute it to retail-driven reversal. The factor is included for completeness and cross-market comparison.
See also: Momentum family, Factor library, Factor returns.