IndMom · Momentum · Grinblatt and Moskowitz (1999)

Industry Momentum

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

4.64%

95% interval 0.76% to 8.37%

Next year

2026Q4–2027Q3

4.65%

95% interval 0.76% to 8.38%

Next five years

2026Q4–2031Q3

4.69%

95% interval 0.74% to 8.43%

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

+2,808% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	4.58%	16.36%	0.28	2.78
2020Q1–2024Q4	1.75%	20.85%	0.08	0.19
2024Q1–2024Q4	−0.02%	12.10%	−<0.01	−<0.01
1926Q3–2024Q4	4.87%	13.93%	0.35	3.47
2020Q1–2024Q4	−1.08%	14.92%	−0.07	−0.16
2024Q1–2024Q4	−2.32%	11.06%	−0.21	−0.21
1926Q3–2024Q4	5.27%	18.96%	0.28	2.76
2020Q1–2024Q4	6.75%	23.09%	0.29	0.65
2024Q1–2024Q4	2.94%	13.33%	0.22	0.22
1926Q3–2024Q4	5.83%	15.87%	0.37	3.65
2020Q1–2024Q4	5.67%	18.47%	0.31	0.69
2024Q1–2024Q4	−4.15%	11.72%	−0.35	−0.35
1926Q3–2024Q4	4.62%	12.17%	0.38	3.77
2020Q1–2024Q4	3.80%	14.05%	0.27	0.60
2024Q1–2024Q4	6.02%	13.58%	0.44	0.44

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.20	−0.04 – 0.42	0.05
2026Q4–2027Q3	0.20	−0.04 – 0.42	0.05
2026Q4–2031Q3	0.19	−0.03 – 0.42	0.05
2026Q4	0.18	−0.11 – 0.46	0.13
2026Q4–2027Q3	0.18	−0.10 – 0.46	0.12
2026Q4–2031Q3	0.19	−0.07 – 0.45	0.09
2026Q4	0.24	0.04 – 0.44	0.01
2026Q4–2027Q3	0.25	0.04 – 0.44	0.01
2026Q4–2031Q3	0.24	0.04 – 0.45	0.01
2026Q4	0.31	0.08 – 0.52	<0.01
2026Q4–2027Q3	0.31	0.08 – 0.52	0.01
2026Q4–2031Q3	0.30	0.06 – 0.52	0.01
2026Q4	0.27	0.03 – 0.51	0.01
2026Q4–2027Q3	0.26	0.02 – 0.50	0.02
2026Q4–2031Q3	0.25	0.01 – 0.49	0.02