ResidualMomentum · Momentum · Blitz, Huij and Martens (2011)
Momentum based on FF3 residuals
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1930Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.41%
95% interval 4.51% to 11.49%
Next year
2026Q4–2027Q3
8.42%
95% interval 4.53% to 11.49%
Next five years
2026Q4–2031Q3
8.46%
95% interval 4.62% to 11.49%
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
+258,118% since 1930Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1930Q3–2024Q4 | 7.40% | 11.29% | 0.66 | 6.37 |
| 2020Q1–2024Q4 | 5.22% | 11.66% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 10.89% | 16.59% | 0.66 | 0.66 |
| 1930Q3–2024Q4 | 10.24% | 9.76% | 1.05 | 10.20 |
| 2020Q1–2024Q4 | 12.38% | 6.94% | 1.79 | 3.99 |
| 2024Q1–2024Q4 | 5.18% | 5.41% | 0.96 | 0.96 |
| 1930Q3–2024Q4 | 9.41% | 14.36% | 0.65 | 6.37 |
| 2020Q1–2024Q4 | 4.96% | 14.64% | 0.34 | 0.76 |
| 2024Q1–2024Q4 | 5.64% | 19.17% | 0.29 | 0.29 |
| 1930Q3–2024Q4 | 12.51% | 12.60% | 0.99 | 9.64 |
| 2020Q1–2024Q4 | 14.01% | 9.21% | 1.52 | 3.40 |
| 2024Q1–2024Q4 | 1.38% | 7.72% | 0.18 | 0.18 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.59 | 0.36 – 0.80 | <0.01 |
| 2026Q4–2027Q3 | 0.60 | 0.35 – 0.81 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.32 – 0.82 | <0.01 |
| 2026Q4 | 0.84 | 0.60 – 1.11 | <0.01 |
| 2026Q4–2027Q3 | 0.81 | 0.55 – 1.10 | <0.01 |
| 2026Q4–2031Q3 | 0.70 | 0.39 – 1.09 | <0.01 |
| 2026Q4 | 0.59 | 0.31 – 0.81 | <0.01 |
| 2026Q4–2027Q3 | 0.60 | 0.31 – 0.84 | <0.01 |
| 2026Q4–2031Q3 | 0.60 | 0.27 – 0.86 | <0.01 |
| 2026Q4 | 0.78 | 0.52 – 1.06 | <0.01 |
| 2026Q4–2027Q3 | 0.76 | 0.49 – 1.06 | <0.01 |
| 2026Q4–2031Q3 | 0.68 | 0.35 – 1.05 | <0.01 |