MomVol · Momentum · Lee and Swaminathan (2000)
Momentum in high volume stocks
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
29.07%
95% interval 17.33% to 39.12%
Next year
2026Q4–2027Q3
28.23%
95% interval 16.51% to 38.51%
Next five years
2026Q4–2031Q3
24.94%
95% interval 13.89% to 35.77%
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.
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+94,193,754% since 1928Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q1–2024Q4 | 19.09% | 29.60% | 0.64 | 6.35 |
| 2020Q1–2024Q4 | 65.42% | 33.50% | 1.95 | 4.37 |
| 2024Q1–2024Q4 | 75.19% | 57.78% | 1.30 | 1.30 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.99 | 0.59 – 1.35 | 0.00 |
| 2026Q4–2027Q3 | 0.87 | 0.51 – 1.19 | 0.00 |
| 2026Q4–2031Q3 | 0.58 | 0.33 – 0.82 | 0.00 |