IntMom · Momentum · Novy-Marx (2012)
Intermediate Momentum
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
17.58%
95% interval 12.49% to 23.34%
Next year
2026Q4–2027Q3
17.49%
95% interval 12.38% to 23.21%
Next five years
2026Q4–2031Q3
17.10%
95% interval 11.85% to 22.76%
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
+158,592,544% since 1927Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q1–2024Q4 | 10.34% | 19.97% | 0.52 | 5.13 |
| 2020Q1–2024Q4 | −4.45% | 30.40% | −0.15 | −0.33 |
| 2024Q1–2024Q4 | 24.15% | 37.34% | 0.65 | 0.65 |
| 1927Q1–2024Q4 | 10.34% | 19.97% | 0.52 | 5.13 |
| 2020Q1–2024Q4 | −4.45% | 30.40% | −0.15 | −0.33 |
| 2024Q1–2024Q4 | 24.15% | 37.34% | 0.65 | 0.65 |
| 1927Q1–2024Q4 | 17.94% | 24.53% | 0.73 | 7.24 |
| 2020Q1–2024Q4 | 19.28% | 38.91% | 0.50 | 1.11 |
| 2024Q1–2024Q4 | 86.65% | 42.05% | 2.06 | 2.06 |
| 1927Q1–2024Q4 | 17.94% | 24.53% | 0.73 | 7.24 |
| 2020Q1–2024Q4 | 19.28% | 38.91% | 0.50 | 1.11 |
| 2024Q1–2024Q4 | 86.65% | 42.05% | 2.06 | 2.06 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.37 | 0.06 – 0.64 | 0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.06 – 0.64 | 0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.06 – 0.63 | 0.01 |
| 2026Q4 | 0.37 | 0.06 – 0.64 | 0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.06 – 0.64 | 0.01 |
| 2026Q4–2031Q3 | 0.35 | 0.05 – 0.64 | 0.01 |
| 2026Q4 | 0.72 | 0.51 – 0.96 | 0.00 |
| 2026Q4–2027Q3 | 0.69 | 0.49 – 0.91 | 0.00 |
| 2026Q4–2031Q3 | 0.62 | 0.41 – 0.85 | <0.01 |
| 2026Q4 | 0.72 | 0.51 – 0.96 | <0.01 |
| 2026Q4–2027Q3 | 0.70 | 0.49 – 0.91 | <0.01 |
| 2026Q4–2031Q3 | 0.62 | 0.41 – 0.84 | <0.01 |