VolumeTrend
Volume Trend — Haugen and Baker 1996
Liquidity
Quick facts
| Factor ID | VolumeTrend |
| Display name | Volume Trend |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Haugen and Baker 1996 |
| Source tables | daily |
| Required fields | vol |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,718 rows · 90.2% of panel |
Formula
(mean(log_vol recent 63d) - mean(log_vol lagged 63d)) / mean(log_vol 252d)
Proxy for the slope of log volume over the past year using difference of sub-period means.
China adaptation
Uses a difference-of-means proxy rather than a full OLS slope for computational efficiency.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.5820% |
| Monthly std | 3.2698% |
| Annualized Sharpe | 0.62 |
| t-stat (simple) | 2.41 |
| Hit rate (months > 0) | 65.8% |
| Last 12M compounded | -6.72% |
| Cumulative wealth (start = 1) | 2.641 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.02% | 2.888 | 5046 |
| 2025-06 | +1.28% | 2.925 | 5055 |
| 2025-07 | -0.07% | 2.923 | 5057 |
| 2025-08 | +1.58% | 2.970 | 5062 |
| 2025-09 | +1.88% | 3.026 | 5069 |
| 2025-10 | +4.42% | 3.159 | 5075 |
| 2025-11 | -4.27% | 3.025 | 5081 |
| 2025-12 | -2.75% | 2.941 | 5088 |
| 2026-01 | -1.82% | 2.888 | 5095 |
| 2026-02 | +0.55% | 2.904 | 5099 |
| 2026-03 | -6.64% | 2.711 | 5105 |
| 2026-04 | -2.58% | 2.641 | 5101 |
Known data issues
None recorded.
Notes
Simplified proxy; full OLS slope version is planned.
See also: Liquidity family, Factor library, Factor returns.