MomRev
Momentum-Reversal — Chan and Ko 2006
Momentum
Quick facts
| Factor ID | MomRev |
| Display name | Momentum-Reversal |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Chan and Ko 2006 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2013-02-28 – 2026-05-15 · 483,827 rows · 70.6% of panel |
Formula
rank(Mom6m) - rank(Mom36m)
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 159 |
| Monthly mean | 0.6921% |
| Monthly std | 3.2792% |
| Annualized Sharpe | 0.73 |
| t-stat (simple) | 2.66 |
| Hit rate (months > 0) | 61.6% |
| Last 12M compounded | 20.07% |
| Cumulative wealth (start = 1) | 2.753 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.85% | 2.312 | 4526 |
| 2025-06 | +1.15% | 2.339 | 4562 |
| 2025-07 | +1.68% | 2.378 | 4579 |
| 2025-08 | -0.33% | 2.370 | 4606 |
| 2025-09 | -0.14% | 2.367 | 4649 |
| 2025-10 | -1.52% | 2.331 | 4677 |
| 2025-11 | +2.79% | 2.396 | 4714 |
| 2025-12 | +4.88% | 2.513 | 4745 |
| 2026-01 | +3.64% | 2.604 | 4761 |
| 2026-02 | -1.15% | 2.574 | 4775 |
| 2026-03 | +5.93% | 2.727 | 4786 |
| 2026-04 | +0.94% | 2.753 | 4792 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.