Mom6m · Momentum · Jegadeesh and Titman (1993)
Momentum (6 month)
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
22.92%
95% interval 14.74% to 30.72%
Next year
2026Q4–2027Q3
22.45%
95% interval 14.39% to 30.33%
Next five years
2026Q4–2031Q3
20.68%
95% interval 13.02% to 28.55%
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
+253,336,435% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 10.72% | 20.23% | 0.53 | 5.26 |
| 2020Q1–2024Q4 | 19.92% | 24.94% | 0.80 | 1.79 |
| 2024Q1–2024Q4 | 18.69% | 23.67% | 0.79 | 0.79 |
| 1926Q3–2024Q4 | 10.27% | 20.95% | 0.49 | 4.87 |
| 2020Q1–2024Q4 | 23.32% | 20.03% | 1.16 | 2.60 |
| 2024Q1–2024Q4 | 14.35% | 26.94% | 0.53 | 0.53 |
| 1926Q3–2024Q4 | 18.69% | 25.50% | 0.73 | 7.27 |
| 2020Q1–2024Q4 | 47.90% | 28.00% | 1.71 | 3.83 |
| 2024Q1–2024Q4 | 57.34% | 27.06% | 2.12 | 2.12 |
| 1926Q3–2024Q4 | 12.10% | 25.31% | 0.48 | 4.75 |
| 2020Q1–2024Q4 | 24.89% | 25.39% | 0.98 | 2.19 |
| 2024Q1–2024Q4 | 16.11% | 31.49% | 0.51 | 0.51 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.45 | 0.21 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.18 – 0.63 | <0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.12 – 0.56 | <0.01 |
| 2026Q4 | 0.58 | 0.32 – 0.82 | <0.01 |
| 2026Q4–2027Q3 | 0.53 | 0.30 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.41 | 0.20 – 0.62 | <0.01 |
| 2026Q4 | 0.90 | 0.58 – 1.22 | <0.01 |
| 2026Q4–2027Q3 | 0.82 | 0.53 – 1.09 | <0.01 |
| 2026Q4–2031Q3 | 0.61 | 0.38 – 0.83 | <0.01 |
| 2026Q4 | 0.52 | 0.29 – 0.77 | <0.01 |
| 2026Q4–2027Q3 | 0.50 | 0.28 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.43 | 0.23 – 0.63 | <0.01 |