CustomerMomentum · Lead lag · Cohen and Frazzini (2008)
Customer momentum
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1977Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
7.41%
95% interval 0.93% to 13.96%
Next year
2026Q4–2027Q3
7.38%
95% interval 0.81% to 13.99%
Next five years
2026Q4–2031Q3
7.29%
95% interval 0.37% to 14.08%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+1,591% since 1977Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1977Q3–2024Q4 | 10.09% | 20.09% | 0.50 | 3.46 |
| 2020Q1–2024Q4 | 7.62% | 14.42% | 0.53 | 1.18 |
| 2024Q1–2024Q4 | −3.38% | 10.68% | −0.32 | −0.32 |
| 1977Q3–2024Q4 | 10.09% | 20.09% | 0.50 | 3.46 |
| 2020Q1–2024Q4 | 7.62% | 14.42% | 0.53 | 1.18 |
| 2024Q1–2024Q4 | −3.38% | 10.68% | −0.32 | −0.32 |
| 1977Q3–2024Q4 | 8.65% | 24.33% | 0.36 | 2.45 |
| 2020Q1–2024Q4 | 14.52% | 18.12% | 0.80 | 1.79 |
| 2024Q1–2024Q4 | 21.86% | 21.75% | 1.01 | 1.01 |
| 1977Q3–2024Q4 | 8.65% | 24.33% | 0.36 | 2.45 |
| 2020Q1–2024Q4 | 14.52% | 18.12% | 0.80 | 1.79 |
| 2024Q1–2024Q4 | 21.86% | 21.75% | 1.01 | 1.01 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.34 | 0.01 – 0.66 | 0.02 |
| 2026Q4–2027Q3 | 0.33 | 0.01 – 0.66 | 0.02 |
| 2026Q4–2031Q3 | 0.32 | −<0.01 – 0.66 | 0.03 |
| 2026Q4 | 0.34 | 0.01 – 0.66 | 0.02 |
| 2026Q4–2027Q3 | 0.33 | 0.01 – 0.66 | 0.02 |
| 2026Q4–2031Q3 | 0.32 | −<0.01 – 0.65 | 0.03 |
| 2026Q4 | 0.30 | 0.04 – 0.57 | 0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.03 – 0.57 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.01 – 0.56 | 0.02 |
| 2026Q4 | 0.30 | 0.03 – 0.57 | 0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.03 – 0.56 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.01 – 0.55 | 0.02 |