Industry Momentum

⚠ weakened

IndMomMomentum· Price data

Weighted average of firm-level 6 month buy-and-hold return. Average is taken over two digit industries each month and weights are based on market value of equity.

A recomputed, out-of-sample-scored replication of this factor is available — verdict alive, OOS Sharpe 0.31.

Replication leaderboard →Run in Colab ↗

IS Sharpe (1926–1998)

0.413

+3.8% p.a.

OOS Sharpe (1999–2024)

0.370

+5.6% p.a.

Sharpe decay

+10.4%

(IS − OOS) / |IS|

IS vol

9.3%

annualized

Cumulative return (last 40 years, monthly)

+269%

1984-012024-12

Publication details

AuthorsGrinblatt and Moskowitz

PaperGrinblatt and Moskowitz (1999)

JournalJournal of Finance

Publication year1999

Original sample1963–1995

IS T-statistic4.65

More Momentum anomalies

Firm Age - Momentum+0.56 Momentum in high volume stocks+0.43 Momentum based on FF3 residuals+0.42 Momentum (6 month)+0.42 Momentum (Mom)+0.38 Intermediate Momentum+0.33

See all Momentum anomalies →

← Back to Anomaly Graveyard