MomVol
Momentum-Volume — Lee and Swaminathan 2000
Momentum
Quick facts
| Factor ID | MomVol |
| Display name | Momentum-Volume |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Lee and Swaminathan 2000 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2010-08-13 – 2026-05-15 · 645,574 rows · 94.2% of panel |
Formula
Mom6m * (1 - turnover_rank)
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 189 |
| Monthly mean | 0.2405% |
| Monthly std | 3.5297% |
| Annualized Sharpe | 0.24 |
| t-stat (simple) | 0.94 |
| Hit rate (months > 0) | 55.0% |
| Last 12M compounded | 19.92% |
| Cumulative wealth (start = 1) | 1.401 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -0.13% | 1.167 | 5076 |
| 2025-06 | -0.11% | 1.165 | 5089 |
| 2025-07 | +2.74% | 1.197 | 5095 |
| 2025-08 | -0.31% | 1.194 | 5101 |
| 2025-09 | +0.47% | 1.199 | 5106 |
| 2025-10 | -3.34% | 1.159 | 5116 |
| 2025-11 | +5.22% | 1.220 | 5124 |
| 2025-12 | +4.64% | 1.276 | 5130 |
| 2026-01 | +2.30% | 1.306 | 5134 |
| 2026-02 | -3.30% | 1.263 | 5137 |
| 2026-03 | +8.54% | 1.370 | 5143 |
| 2026-04 | +2.23% | 1.401 | 5127 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.