Mom6mJunk · Momentum · Avramov et al (2007)
Junk Stock Momentum
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1970Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
18.32%
95% interval 9.67% to 27.72%
Next year
2026Q4–2027Q3
18.16%
95% interval 9.61% to 27.42%
Next five years
2026Q4–2031Q3
17.52%
95% interval 9.18% to 26.35%
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
+184,820% since 1970Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1970Q2–2024Q4 | 10.96% | 20.94% | 0.52 | 3.87 |
| 2020Q1–2024Q4 | 19.23% | 24.55% | 0.78 | 1.75 |
| 2024Q1–2024Q4 | 28.18% | 20.30% | 1.39 | 1.39 |
| 1970Q2–2024Q4 | 13.30% | 17.76% | 0.75 | 5.54 |
| 2020Q1–2024Q4 | 15.15% | 18.24% | 0.83 | 1.86 |
| 2024Q1–2024Q4 | 18.79% | 11.18% | 1.68 | 1.68 |
| 1970Q2–2024Q4 | 18.20% | 29.54% | 0.62 | 4.56 |
| 2020Q1–2024Q4 | 45.36% | 35.86% | 1.26 | 2.83 |
| 2024Q1–2024Q4 | 56.26% | 27.25% | 2.07 | 2.07 |
| 1970Q2–2024Q4 | 21.56% | 24.65% | 0.87 | 6.47 |
| 2020Q1–2024Q4 | 23.88% | 29.68% | 0.80 | 1.80 |
| 2024Q1–2024Q4 | 29.80% | 17.65% | 1.69 | 1.69 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.47 | 0.22 – 0.73 | <0.01 |
| 2026Q4–2027Q3 | 0.47 | 0.21 – 0.72 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.18 – 0.70 | <0.01 |
| 2026Q4 | 0.62 | 0.35 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.60 | 0.32 – 0.88 | <0.01 |
| 2026Q4–2031Q3 | 0.56 | 0.23 – 0.88 | <0.01 |
| 2026Q4 | 0.62 | 0.33 – 0.95 | <0.01 |
| 2026Q4–2027Q3 | 0.60 | 0.32 – 0.88 | <0.01 |
| 2026Q4–2031Q3 | 0.54 | 0.28 – 0.79 | <0.01 |
| 2026Q4 | 0.71 | 0.43 – 0.98 | 0.00 |
| 2026Q4–2027Q3 | 0.69 | 0.39 – 0.98 | 0.00 |
| 2026Q4–2031Q3 | 0.63 | 0.27 – 0.98 | <0.01 |