iomom_supp · Lead lag · Menzly and Ozbas (2010)

Suppliers 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

2.05%

95% interval −2.29% to 6.47%

Next year

2026Q4–2027Q3

2.05%

95% interval −2.39% to 6.53%

Next five years

2026Q4–2031Q3

2.03%

95% interval −2.80% to 6.77%

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.

Cumulative market-adjusted return

+103% since 1986Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1986Q2–2024Q4	4.17%	12.83%	0.32	2.02
2020Q1–2024Q4	4.60%	15.13%	0.30	0.68
2024Q1–2024Q4	0.48%	15.03%	0.03	0.03
1986Q2–2024Q4	4.40%	9.92%	0.44	2.76
2020Q1–2024Q4	−0.87%	15.26%	−0.06	−0.13
2024Q1–2024Q4	−2.48%	22.00%	−0.11	−0.11
1986Q2–2024Q4	2.91%	15.11%	0.19	1.20
2020Q1–2024Q4	2.46%	16.57%	0.15	0.33
2024Q1–2024Q4	−5.77%	8.84%	−0.65	−0.65
1986Q2–2024Q4	3.65%	15.01%	0.24	1.51
2020Q1–2024Q4	3.36%	21.49%	0.16	0.35
2024Q1–2024Q4	5.44%	20.54%	0.26	0.26

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.28	−0.01 – 0.56	0.03
2026Q4–2027Q3	0.27	−0.01 – 0.56	0.03
2026Q4–2031Q3	0.25	−0.03 – 0.55	0.04
2026Q4	0.22	−0.12 – 0.59	0.12
2026Q4–2027Q3	0.21	−0.12 – 0.59	0.12
2026Q4–2031Q3	0.21	−0.10 – 0.58	0.12
2026Q4	0.14	−0.15 – 0.43	0.18
2026Q4–2027Q3	0.13	−0.15 – 0.42	0.18
2026Q4–2031Q3	0.12	−0.15 – 0.41	0.20
2026Q4	0.19	−0.09 – 0.49	0.09
2026Q4–2027Q3	0.18	−0.09 – 0.47	0.10
2026Q4–2031Q3	0.17	−0.10 – 0.46	0.12