Momentum
10 factors in this family
Momentum
Cumulative returns (overlay)
Members
| Factor | Name | Direction | Sharpe | t-stat | Hit rate | Cumulative | Months |
|---|---|---|---|---|---|---|---|
| High52 | 52-Week High | higher_expected_return | -0.17 | -0.67 | 54.3% | 0.54 | 184 |
| IndMom | Industry Momentum | higher_expected_return | 0.35 | 1.38 | 52.4% | 1.80 | 189 |
| IntMom | Intermediate Momentum | higher_expected_return | -0.09 | -0.37 | 48.1% | 0.76 | 183 |
| Mom12m | 12-1 Momentum | higher_expected_return | -0.08 | -0.30 | 52.5% | 0.71 | 183 |
| Mom12mOffSeason | Off-Season Momentum | higher_expected_return | -0.08 | -0.33 | 51.9% | 0.71 | 183 |
| Mom6m | 6-1 Momentum | higher_expected_return | 0.13 | 0.50 | 48.7% | 1.13 | 189 |
| MomRev | Momentum-Reversal | higher_expected_return | 0.73 | 2.66 | 61.6% | 2.75 | 159 |
| MomSeasonShort | Seasonal Return (1Y) | higher_expected_return | 0.16 | 0.62 | 49.5% | 1.14 | 184 |
| MomVol | Momentum-Volume | higher_expected_return | 0.24 | 0.94 | 55.0% | 1.40 | 189 |
| PriceDelaySlope | Price Delay | higher_expected_return | -0.10 | -0.39 | 49.5% | 0.79 | 184 |
Back to Factor library · Factor returns.