High52 · Momentum · George and Hwang (2004)

52 week high

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

7.94%

95% interval 3.92% to 11.99%

Next year

2026Q4–2027Q3

7.92%

95% interval 3.90% to 11.98%

Next five years

2026Q4–2031Q3

7.87%

95% interval 3.78% to 11.98%

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.

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+34,897% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	6.68%	15.24%	0.44	4.35
2020Q1–2024Q4	8.87%	23.35%	0.38	0.85
2024Q1–2024Q4	27.44%	17.99%	1.53	1.53
1926Q3–2024Q4	8.42%	23.58%	0.36	3.54
2020Q1–2024Q4	18.10%	24.01%	0.75	1.69
2024Q1–2024Q4	22.19%	21.18%	1.05	1.05
1926Q3–2024Q4	8.31%	20.95%	0.40	3.94
2020Q1–2024Q4	13.79%	26.37%	0.52	1.17
2024Q1–2024Q4	40.18%	21.27%	1.89	1.89
1926Q3–2024Q4	9.08%	32.22%	0.28	2.80
2020Q1–2024Q4	24.10%	32.19%	0.75	1.67
2024Q1–2024Q4	30.59%	32.01%	0.96	0.96
1926Q3–2024Q4	7.69%	19.60%	0.39	3.89
2020Q1–2024Q4	14.26%	18.79%	0.76	1.70
2024Q1–2024Q4	19.31%	16.80%	1.15	1.15

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.41	0.23 – 0.60	<0.01
2026Q4–2027Q3	0.42	0.23 – 0.61	<0.01
2026Q4–2031Q3	0.42	0.21 – 0.62	<0.01
2026Q4	0.40	0.18 – 0.66	<0.01
2026Q4–2027Q3	0.39	0.18 – 0.62	<0.01
2026Q4–2031Q3	0.35	0.16 – 0.54	<0.01
2026Q4	0.38	0.19 – 0.57	<0.01
2026Q4–2027Q3	0.38	0.19 – 0.57	<0.01
2026Q4–2031Q3	0.37	0.17 – 0.57	<0.01
2026Q4	0.32	0.11 – 0.59	<0.01
2026Q4–2027Q3	0.32	0.11 – 0.56	<0.01
2026Q4–2031Q3	0.30	0.10 – 0.49	<0.01
2026Q4	0.45	0.22 – 0.69	<0.01
2026Q4–2027Q3	0.43	0.21 – 0.65	<0.01
2026Q4–2031Q3	0.37	0.17 – 0.56	<0.01