VolMkt
Volume-to-Market-Cap — Haugen and Baker 1996
Liquidity
Quick facts
| Factor ID | VolMkt |
| Display name | Volume-to-Market-Cap |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Haugen and Baker 1996 |
| Source tables | daily;daily_basic |
| Required fields | amount;mkt_cap_cmp |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,718 rows · 90.2% of panel |
Formula
mean(amount over t-252..t-1) / mkt_cap_cmp
Trailing 12-month average daily RMB trading amount scaled by market capitalization.
China adaptation
Uses RMB amount and RMB market cap from Tushare.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.2105% |
| Monthly std | 4.4036% |
| Annualized Sharpe | 0.17 |
| t-stat (simple) | 0.65 |
| Hit rate (months > 0) | 53.8% |
| Last 12M compounded | -1.39% |
| Cumulative wealth (start = 1) | 1.234 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -5.48% | 1.183 | 5046 |
| 2025-06 | +4.49% | 1.236 | 5055 |
| 2025-07 | -3.06% | 1.198 | 5057 |
| 2025-08 | +2.76% | 1.231 | 5062 |
| 2025-09 | +0.46% | 1.237 | 5069 |
| 2025-10 | -1.47% | 1.219 | 5075 |
| 2025-11 | -0.09% | 1.218 | 5081 |
| 2025-12 | +0.49% | 1.224 | 5088 |
| 2026-01 | -1.68% | 1.203 | 5095 |
| 2026-02 | +4.55% | 1.258 | 5099 |
| 2026-03 | -0.05% | 1.257 | 5105 |
| 2026-04 | -1.84% | 1.234 | 5101 |
Known data issues
None recorded.
Notes
Mechanically correlated with Turnover.
See also: Liquidity family, Factor library, Factor returns.