Mom12m · Momentum · Jegadeesh and Titman (1993)
Momentum (12 month)
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
22.66%
95% interval 16.81% to 29.33%
Next year
2026Q4–2027Q3
22.55%
95% interval 16.71% to 29.16%
Next five years
2026Q4–2031Q3
22.10%
95% interval 16.24% to 28.69%
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
+8,507,163,259% since 1927Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q1–2024Q4 | 14.92% | 21.66% | 0.69 | 6.82 |
| 2020Q1–2024Q4 | 10.98% | 30.69% | 0.36 | 0.80 |
| 2024Q1–2024Q4 | 38.55% | 23.74% | 1.62 | 1.62 |
| 1927Q1–2024Q4 | 13.45% | 22.29% | 0.60 | 5.97 |
| 2020Q1–2024Q4 | 19.65% | 26.10% | 0.75 | 1.68 |
| 2024Q1–2024Q4 | 29.66% | 28.47% | 1.04 | 1.04 |
| 1927Q1–2024Q4 | 22.95% | 28.00% | 0.82 | 8.11 |
| 2020Q1–2024Q4 | 35.88% | 38.44% | 0.93 | 2.09 |
| 2024Q1–2024Q4 | 82.03% | 29.67% | 2.76 | 2.76 |
| 1927Q1–2024Q4 | 16.21% | 27.55% | 0.59 | 5.82 |
| 2020Q1–2024Q4 | 26.81% | 32.14% | 0.83 | 1.87 |
| 2024Q1–2024Q4 | 41.00% | 36.11% | 1.14 | 1.14 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.61 | 0.39 – 0.83 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.38 – 0.83 | <0.01 |
| 2026Q4–2031Q3 | 0.58 | 0.31 – 0.83 | <0.01 |
| 2026Q4 | 0.59 | 0.38 – 0.80 | <0.01 |
| 2026Q4–2027Q3 | 0.58 | 0.38 – 0.78 | <0.01 |
| 2026Q4–2031Q3 | 0.56 | 0.36 – 0.77 | <0.01 |
| 2026Q4 | 0.81 | 0.60 – 1.05 | <0.01 |
| 2026Q4–2027Q3 | 0.79 | 0.59 – 1.00 | <0.01 |
| 2026Q4–2031Q3 | 0.72 | 0.51 – 0.95 | <0.01 |
| 2026Q4 | 0.57 | 0.37 – 0.79 | 0.00 |
| 2026Q4–2027Q3 | 0.57 | 0.38 – 0.78 | 0.00 |
| 2026Q4–2031Q3 | 0.56 | 0.37 – 0.76 | 0.00 |