Price
Log Price — Blume and Husic 1973
Size
Quick facts
| Factor ID | Price |
| Display name | Log Price |
| Family | Predictor |
| Category | Size |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Blume and Husic 1973 |
| Source tables | daily;adj_factor |
| Required fields | close_adj |
| PIT required | no |
| Coverage | 2010-01-07 – 2026-05-15 · 685,065 rows · 100.0% of panel |
Formula
ln(close_adj)
Natural log of the split-adjusted closing price.
China adaptation
Uses post-adjustment closes from Tushare.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 196 |
| Monthly mean | 1.2172% |
| Monthly std | 3.9626% |
| Annualized Sharpe | 1.06 |
| t-stat (simple) | 4.30 |
| Hit rate (months > 0) | 59.2% |
| Last 12M compounded | -10.95% |
| Cumulative wealth (start = 1) | 9.234 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.70% | 10.443 | 5134 |
| 2025-06 | +1.02% | 10.549 | 5146 |
| 2025-07 | -7.55% | 9.753 | 5149 |
| 2025-08 | -2.18% | 9.540 | 5150 |
| 2025-09 | +5.20% | 10.037 | 5158 |
| 2025-10 | +4.63% | 10.502 | 5163 |
| 2025-11 | -5.67% | 9.906 | 5168 |
| 2025-12 | -0.74% | 9.833 | 5182 |
| 2026-01 | +1.08% | 9.938 | 5183 |
| 2026-02 | +3.77% | 10.313 | 5187 |
| 2026-03 | -7.19% | 9.572 | 5192 |
| 2026-04 | -3.53% | 9.234 | 5185 |
Known data issues
None recorded.
Notes
Highly correlated with Size; included for completeness.
See also: Size family, Factor library, Factor returns.