TrendFactor · Momentum · Han, Zhou, Zhu (2016)
Trend Factor
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
4.60%
95% interval −1.77% to 13.16%
Next year
2026Q4–2027Q3
4.92%
95% interval −1.62% to 13.55%
Next five years
2026Q4–2031Q3
6.38%
95% interval −0.88% to 15.19%
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
+3,176,903,678% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 12.98% | 15.85% | 0.82 | 8.12 |
| 2020Q1–2024Q4 | −7.06% | 15.77% | −0.45 | −1.00 |
| 2024Q1–2024Q4 | −10.27% | 12.94% | −0.79 | −0.79 |
| 1926Q3–2024Q4 | 19.10% | 15.31% | 1.25 | 12.38 |
| 2020Q1–2024Q4 | 5.25% | 13.97% | 0.38 | 0.84 |
| 2024Q1–2024Q4 | −1.90% | 12.39% | −0.15 | −0.15 |
| 1926Q3–2024Q4 | 20.10% | 21.64% | 0.93 | 9.22 |
| 2020Q1–2024Q4 | −6.75% | 20.94% | −0.32 | −0.72 |
| 2024Q1–2024Q4 | −0.12% | 15.61% | −0.01 | −0.01 |
| 1926Q3–2024Q4 | 25.71% | 20.88% | 1.23 | 12.22 |
| 2020Q1–2024Q4 | 8.65% | 18.12% | 0.48 | 1.07 |
| 2024Q1–2024Q4 | 0.47% | 14.90% | 0.03 | 0.03 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.32 | −0.11 – 0.84 | 0.09 |
| 2026Q4–2027Q3 | 0.33 | −0.09 – 0.85 | 0.08 |
| 2026Q4–2031Q3 | 0.34 | −0.03 – 0.85 | 0.05 |
| 2026Q4 | 0.35 | 0.12 – 0.64 | <0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.11 – 0.61 | <0.01 |
| 2026Q4–2031Q3 | 0.27 | 0.07 – 0.52 | <0.01 |
| 2026Q4 | 0.21 | −0.08 – 0.61 | 0.10 |
| 2026Q4–2027Q3 | 0.22 | −0.07 – 0.60 | 0.08 |
| 2026Q4–2031Q3 | 0.22 | −0.03 – 0.59 | 0.05 |
| 2026Q4 | 0.40 | 0.16 – 0.70 | <0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.14 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.09 – 0.50 | <0.01 |