Past 12-month winners keep winning over the next month (skipping the most recent month).
Jegadeesh & Titman · Journal of Finance · published 1993 · original sample 1965–1989 (reported ≈ +12.0%/yr, t ≈ 4.3)
Growth of $1 in the long-short strategy, gross of trading and shorting costs. The dashed line marks the year the paper was published — everything to its right is out-of-sample.
$1 in the long-short strategy, gross of costs. Grey = the sample the paper had; blue = everything since.
The comparison the site is built around.
| Window | Return/yr | Vol | Sharpe | t-stat | Max DD |
|---|---|---|---|---|---|
| Paper's sample (1965–1989) | +9.5% | 12.3% | 0.80 | 4.3 | -20% |
| After publication (1994–2026) | +2.9% | 16.7% | 0.26 | 1.5 | -58% |
| Full sample (1963–2026) | +6.2% | 14.6% | 0.49 | 3.9 | -58% |
Is there a risk-adjusted alpha left once you control for the standard factors? Alpha is annualized; t-stats use Newey–West standard errors.
| Model | Alpha/yr | Alpha t | R² | Biggest loadings |
|---|---|---|---|---|
| CAPM (market only) | +8.3% | 4.9 | 0.03 | Mkt-RF -0.15 |
| Fama–French 3-factor | +9.8% | 5.9 | 0.08 | HML -0.33, Mkt-RF -0.20, SMB -0.03 |
| Fama–French 5-factor | +8.8% | 4.3 | 0.09 | HML -0.47, CMA +0.29, Mkt-RF -0.16 |
| FF5 + momentum * | 0.0% | 0.0 | 1.00 | Mom +1.00, Mkt-RF +0.00, SMB +0.00 |
| FF5 + mom, own factor removed | +8.8% | 4.3 | 0.09 | tests for anything left beyond the other five |
* Momentum (12–2) is itself the Mom factor, so its alpha against a model that contains Mom is zero by construction — the informative row is the one with its own factor removed.
Trailing 3-year Sharpe ratio. Long stretches below zero are common.
| 1960s | +10.5%/yr | Sharpe 1.10 |
| 1970s | +9.8%/yr | Sharpe 0.75 |
| 1980s | +9.0%/yr | Sharpe 0.73 |
| 1990s | +13.6%/yr | Sharpe 1.21 |
| 2000s | +1.0%/yr | Sharpe 0.04 |
| 2010s | +3.2%/yr | Sharpe 0.29 |
| 2020s | +2.7%/yr | Sharpe 0.18 |
Winners have rising cash-flow risk and become more exposed to the market and to growth shocks — a time-varying-risk explanation, though a contested one.
Under-reaction to news plus delayed overreaction: information diffuses slowly, then trend-chasers push it further before it reverses.
The anomaly that refuses to die — still significant out-of-sample and across countries and asset classes. Its weakness is tail risk: violent crashes in 1932, 2009 and 2020 when beaten-down stocks snap back.
Long-short = the published Fama–French / Carhart factor return. Value-weighted, US equities, monthly, gross of transaction and shorting costs. The original-paper figures are approximate and annualized for comparison.