PriceDelaySlope
Price Delay — Hou and Moskowitz 2005
Momentum
Quick facts
| Factor ID | PriceDelaySlope |
| Display name | Price Delay |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Hou and Moskowitz 2005 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-01-28 – 2026-05-15 · 616,753 rows · 90.0% of panel |
Formula
weighted sum of lagged market-beta coefficients
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | -0.0831% |
| Monthly std | 2.8665% |
| Annualized Sharpe | -0.10 |
| t-stat (simple) | -0.39 |
| Hit rate (months > 0) | 49.5% |
| Last 12M compounded | 2.50% |
| Cumulative wealth (start = 1) | 0.795 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.26% | 0.766 | 5046 |
| 2025-06 | +0.14% | 0.767 | 5054 |
| 2025-07 | -0.79% | 0.761 | 5057 |
| 2025-08 | +1.10% | 0.769 | 5060 |
| 2025-09 | -1.34% | 0.759 | 5069 |
| 2025-10 | -0.70% | 0.754 | 5073 |
| 2025-11 | +1.21% | 0.763 | 5081 |
| 2025-12 | -0.80% | 0.757 | 5088 |
| 2026-01 | +1.88% | 0.771 | 5093 |
| 2026-02 | -2.79% | 0.749 | 5099 |
| 2026-03 | +3.34% | 0.774 | 5104 |
| 2026-04 | +2.66% | 0.795 | 5098 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.