iomom_cust · Lead lag · Menzly and Ozbas (2010)

Customers momentum

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1986Q2 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

1.29%

95% interval −2.35% to 5.00%

Next year

2026Q4–2027Q3

1.29%

95% interval −2.40% to 5.03%

Next five years

2026Q4–2031Q3

1.29%

95% interval −2.64% to 5.18%

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

+49% since 1986Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1986Q2–2024Q4	4.08%	10.40%	0.39	2.44
2020Q1–2024Q4	7.07%	10.69%	0.66	1.48
2024Q1–2024Q4	6.79%	4.31%	1.57	1.57
1986Q2–2024Q4	3.52%	10.54%	0.33	2.08
2020Q1–2024Q4	−1.82%	14.06%	−0.13	−0.29
2024Q1–2024Q4	2.29%	12.40%	0.18	0.18
1986Q2–2024Q4	1.85%	12.73%	0.15	0.90
2020Q1–2024Q4	2.93%	8.54%	0.34	0.77
2024Q1–2024Q4	−5.70%	3.64%	−1.57	−1.57
1986Q2–2024Q4	3.94%	12.07%	0.33	2.03
2020Q1–2024Q4	−4.39%	14.49%	−0.30	−0.68
2024Q1–2024Q4	−3.41%	17.64%	−0.19	−0.19

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.35	0.06 – 0.63	0.01
2026Q4–2027Q3	0.34	0.05 – 0.62	0.01
2026Q4–2031Q3	0.32	0.04 – 0.61	0.01
2026Q4	0.20	−0.13 – 0.54	0.13
2026Q4–2027Q3	0.19	−0.12 – 0.53	0.13
2026Q4–2031Q3	0.19	−0.11 – 0.52	0.13
2026Q4	0.10	−0.19 – 0.39	0.25
2026Q4–2027Q3	0.10	−0.18 – 0.39	0.25
2026Q4–2031Q3	0.10	−0.18 – 0.38	0.26
2026Q4	0.16	−0.20 – 0.52	0.21
2026Q4–2027Q3	0.16	−0.18 – 0.52	0.20
2026Q4–2031Q3	0.17	−0.15 – 0.52	0.18