Intermediate Momentum
⚠ weakenedIntMomMomentum· Price data
Stock return between months t-12 and t-6
IS Sharpe (1927–2011)
0.648
+14.9% p.a.
OOS Sharpe (2012–2024)
0.328
+8.5% p.a.
Sharpe decay
+49.4%
(IS − OOS) / |IS|
IS vol
23.0%
annualized
Cumulative return (last 40 years, monthly)
+11523%1984-012024-12
Publication details
AuthorsNovy-Marx
PaperNovy-Marx (2012)
JournalJournal of Financial Economics
Publication year2012
Original sample1927–2010
IS T-statistic5.79
More Momentum anomalies
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