FoxAlgo → Research → Academic Audit → 52-Weeks High Effect in Stocks

Academic audit

Failedequity XS price

52-Weeks High Effect in Stocks

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation
Gate 1
Survivorship-free
free
clean panel
Eliminated here
Gate 2
Placebo ≥ P95
P0
outranked ~0 of 200 baskets
Gate 3
Cost-aware net
RF -0.80
net-negative after costs
Failed
Worst 12-month leg (RF)-0.97
−1.00 floor0
Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.
Rejected at the luck gate — its net ranked no better than random baskets (below the P95 skill line).

The 52-week-high effect ranks stocks by how close their current price sits to their highest price over the trailing year, buying those nearest their high and shorting those furthest below it. The paper documents this proximity measure as a predictor of subsequent cross-sectional returns.

What we found

Rebuilt as a naive decile long-short and tested survivorship-free with realistic costs and delistings included, the effect placed at the bottom of its placebo distribution and produced a negative risk-adjusted return. In this form it does not survive the test: a famous published factor is not free alpha once trading frictions and delisted names are accounted for. The worst-year risk-adjusted return of -0.97 confirms the pattern is not merely weak but loss-making across the test window.

How we tested it
2005–2026 test windowmodelled liquidity-aware costssurvivorship free
  • Survivorship-free 1077-name US common-stock panel, 2005-2026. Realistic modelled costs.
  • Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)
Source: George & Hwang (2004), "The 52-Week High and Momentum Investing", J. Finance
Read the paper ↗
← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.