Mom36m
Long-Run Reversal — De Bondt and Thaler 1985
Reversal
Quick facts
| Factor ID | Mom36m |
| Display name | Long-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 | 2013-02-28 – 2026-05-15 · 483,827 rows · 70.6% of panel |
Formula
prod(1 + ret over t-504..t-253) - 1
Compounded return between roughly 36 and 13 months ago; long-run winners tend to reverse over the next year.
China adaptation
Trading-day windows are used so that suspensions and holidays do not silently shorten the formation period.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 159 |
| Monthly mean | 0.9304% |
| Monthly std | 3.0257% |
| Annualized Sharpe | 1.07 |
| t-stat (simple) | 3.88 |
| Hit rate (months > 0) | 66.7% |
| Last 12M compounded | 9.22% |
| Cumulative wealth (start = 1) | 4.059 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +3.22% | 3.836 | 4526 |
| 2025-06 | +2.06% | 3.915 | 4562 |
| 2025-07 | -1.75% | 3.846 | 4579 |
| 2025-08 | +1.81% | 3.916 | 4606 |
| 2025-09 | +0.29% | 3.927 | 4649 |
| 2025-10 | +2.10% | 4.010 | 4677 |
| 2025-11 | -2.43% | 3.912 | 4714 |
| 2025-12 | +2.71% | 4.018 | 4745 |
| 2026-01 | +1.39% | 4.074 | 4761 |
| 2026-02 | +2.67% | 4.183 | 4775 |
| 2026-03 | -0.89% | 4.146 | 4786 |
| 2026-04 | -2.10% | 4.059 | 4792 |
Known data issues
Pre-2012 panel coverage is thinner so the early sample has fewer eligible names.
Notes
A-share long-run reversal is sensitive to delistings and major regime changes such as the 2015 bubble.
See also: Reversal family, Factor library, Factor returns.