Momentum (6 month)
⚠ weakenedMom6mMomentum· Price data
Stock return between months t-6 and t-1
IS Sharpe (1926–1992)
0.234
+5.7% p.a.
OOS Sharpe (1993–2024)
0.416
+12.0% p.a.
Sharpe decay
-77.8%
(IS − OOS) / |IS|
IS vol
24.6%
annualized
Cumulative return (last 40 years, monthly)
+1152%1984-012024-12
Publication details
AuthorsJegadeesh and Titman
PaperJegadeesh and Titman (1993)
JournalJournal of Finance
Publication year1993
Original sample1964–1989
IS T-statistic2.44
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