STreversal · Short-term reversal · Jegadeesh (1990)

Short term reversal

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

−5.73%

95% interval −14.38% to 4.99%

Next year

2026Q4–2027Q3

−5.17%

95% interval −13.97% to 5.60%

Next five years

2026Q4–2031Q3

−2.84%

95% interval −12.25% to 7.73%

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

+53,441% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	3.51%	18.53%	0.19	1.88
2020Q1–2024Q4	−14.58%	19.48%	−0.75	−1.67
2024Q1–2024Q4	−14.22%	20.13%	−0.71	−0.71
1926Q3–2024Q4	19.78%	20.35%	0.97	9.65
2020Q1–2024Q4	1.20%	16.92%	0.07	0.16
2024Q1–2024Q4	−3.64%	7.32%	−0.50	−0.50
1926Q3–2024Q4	9.25%	24.35%	0.38	3.77
2020Q1–2024Q4	−20.39%	32.71%	−0.62	−1.39
2024Q1–2024Q4	−40.72%	29.99%	−1.36	−1.36
1926Q3–2024Q4	32.18%	28.86%	1.12	11.07
2020Q1–2024Q4	7.90%	23.13%	0.34	0.76
2024Q1–2024Q4	2.36%	15.86%	0.15	0.15

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	−0.06	−0.39 – 0.28	0.61
2026Q4–2027Q3	−0.04	−0.35 – 0.28	0.59
2026Q4–2031Q3	0.01	−0.24 – 0.28	0.49
2026Q4	0.20	−0.07 – 0.53	0.08
2026Q4–2027Q3	0.19	−0.05 – 0.49	0.07
2026Q4–2031Q3	0.17	−0.03 – 0.43	0.05
2026Q4	−0.24	−0.60 – 0.21	0.87
2026Q4–2027Q3	−0.20	−0.52 – 0.22	0.84
2026Q4–2031Q3	−0.07	−0.32 – 0.25	0.71
2026Q4	0.37	0.08 – 0.67	<0.01
2026Q4–2027Q3	0.33	0.07 – 0.59	<0.01
2026Q4–2031Q3	0.27	0.05 – 0.47	<0.01