STreversal
Short-Term Reversal — Jegadeesh 1990
Reversal
Quick facts
| Factor ID | STreversal |
| Display name | Short-Term Reversal |
| Family | Predictor |
| Category | Reversal |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Jegadeesh 1990 |
| Source tables | daily |
| Required fields | ret |
| PIT required | no |
| Coverage | 2010-02-03 – 2026-05-15 · 679,110 rows · 99.1% of panel |
Formula
prod(1 + ret over t-21 through t-1) - 1
Prior one-month compound return lagged one trading day.
China adaptation
Use daily trading windows so suspensions naturally reduce available observations.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 195 |
| Monthly mean | 1.0822% |
| Monthly std | 4.2475% |
| Annualized Sharpe | 0.88 |
| t-stat (simple) | 3.56 |
| Hit rate (months > 0) | 56.4% |
| Last 12M compounded | -9.77% |
| Cumulative wealth (start = 1) | 6.889 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -1.00% | 7.559 | 5129 |
| 2025-06 | -1.24% | 7.465 | 5139 |
| 2025-07 | +0.93% | 7.534 | 5143 |
| 2025-08 | -3.62% | 7.262 | 5147 |
| 2025-09 | +1.93% | 7.402 | 5150 |
| 2025-10 | -3.80% | 7.121 | 5152 |
| 2025-11 | +5.37% | 7.503 | 5162 |
| 2025-12 | -0.42% | 7.471 | 5167 |
| 2026-01 | -0.89% | 7.405 | 5175 |
| 2026-02 | -0.12% | 7.396 | 5180 |
| 2026-03 | +0.92% | 7.463 | 5187 |
| 2026-04 | -7.69% | 6.889 | 5172 |
Known data issues
Long suspension gaps can create oversized adjusted returns.
Notes
A-share reversal interacts with price limits and retail trading.
See also: Reversal family, Factor library, Factor returns.