FirmAgeMom · Momentum · Zhang (2006)
Firm Age - Momentum
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
25.80%
95% interval 18.04% to 33.15%
Next year
2026Q4–2027Q3
25.32%
95% interval 17.64% to 32.77%
Next five years
2026Q4–2031Q3
23.44%
95% interval 15.77% to 31.21%
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
+2,810,664,357% since 1927Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q3–2024Q4 | 15.84% | 21.33% | 0.74 | 7.30 |
| 2020Q1–2024Q4 | 24.28% | 25.51% | 0.95 | 2.13 |
| 2024Q1–2024Q4 | 35.02% | 16.67% | 2.10 | 2.10 |
| 1927Q3–2024Q4 | 15.53% | 17.87% | 0.87 | 8.53 |
| 2020Q1–2024Q4 | 17.34% | 17.02% | 1.02 | 2.28 |
| 2024Q1–2024Q4 | −0.35% | 6.39% | −0.05 | −0.05 |
| 1927Q3–2024Q4 | 21.94% | 27.91% | 0.79 | 7.72 |
| 2020Q1–2024Q4 | 43.67% | 37.65% | 1.16 | 2.59 |
| 2024Q1–2024Q4 | 66.31% | 40.65% | 1.63 | 1.63 |
| 1927Q3–2024Q4 | 21.04% | 23.11% | 0.91 | 8.94 |
| 2020Q1–2024Q4 | 19.23% | 21.78% | 0.88 | 1.97 |
| 2024Q1–2024Q4 | 1.40% | 12.97% | 0.11 | 0.11 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.76 | 0.53 – 0.98 | <0.01 |
| 2026Q4–2027Q3 | 0.69 | 0.47 – 0.90 | <0.01 |
| 2026Q4–2031Q3 | 0.53 | 0.31 – 0.77 | <0.01 |
| 2026Q4 | 0.60 | 0.33 – 0.86 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.29 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.19 – 0.75 | <0.01 |
| 2026Q4 | 0.93 | 0.65 – 1.21 | <0.01 |
| 2026Q4–2027Q3 | 0.85 | 0.60 – 1.08 | <0.01 |
| 2026Q4–2031Q3 | 0.63 | 0.41 – 0.85 | <0.01 |
| 2026Q4 | 0.61 | 0.34 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.30 – 0.86 | <0.01 |
| 2026Q4–2031Q3 | 0.46 | 0.20 – 0.79 | <0.01 |