Mom6m
6-1 Momentum — Jegadeesh and Titman 1993
Momentum
Quick facts
| Factor ID | Mom6m |
| Display name | 6-1 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 | 2010-08-13 – 2026-05-15 · 645,582 rows · 94.2% of panel |
Formula
prod(1 + ret over t-126 through t-21) - 1
Compound return over the prior six months skipping the most recent month.
China adaptation
Use 126 and 21 trading-day windows for a China A-share daily panel.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 189 |
| Monthly mean | 0.1407% |
| Monthly std | 3.8615% |
| Annualized Sharpe | 0.13 |
| t-stat (simple) | 0.50 |
| Hit rate (months > 0) | 48.7% |
| Last 12M compounded | 15.65% |
| Cumulative wealth (start = 1) | 1.134 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -2.08% | 0.960 | 5076 |
| 2025-06 | -0.71% | 0.954 | 5089 |
| 2025-07 | +3.78% | 0.990 | 5095 |
| 2025-08 | -2.43% | 0.966 | 5101 |
| 2025-09 | -0.59% | 0.960 | 5106 |
| 2025-10 | -3.89% | 0.923 | 5116 |
| 2025-11 | +5.88% | 0.977 | 5124 |
| 2025-12 | +3.43% | 1.010 | 5130 |
| 2026-01 | +3.35% | 1.044 | 5134 |
| 2026-02 | -3.73% | 1.005 | 5137 |
| 2026-03 | +10.05% | 1.106 | 5143 |
| 2026-04 | +2.52% | 1.134 | 5127 |
Known data issues
Long suspension gaps can create oversized adjusted returns.
Notes
Shorter China momentum horizon used for bootstrap seed library.
See also: Momentum family, Factor library, Factor returns.