CustomerMomentum · Lead lag · Cohen and Frazzini (2008)

Customer momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1977Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.71%

95% interval 0.07% to 3.36%

Next year

1.77%

95% interval 0.08% to 3.36%

Next five years

1.93%

95% interval 0.11% to 3.49%

Next quarter

1.71%

95% interval 0.08% to 3.34%

Next year

1.77%

95% interval 0.10% to 3.35%

Next five years

1.93%

95% interval 0.13% to 3.48%

Next quarter

1.96%

95% interval 0.37% to 3.52%

Next year

1.93%

95% interval 0.30% to 3.54%

Next five years

1.84%

95% interval −0.03% to 3.61%

Next quarter

1.96%

95% interval 0.37% to 3.53%

Next year

1.93%

95% interval 0.30% to 3.55%

Next five years

1.84%

95% interval −0.03% to 3.62%

Cumulative market-adjusted return

+4,716% since 1977Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1977Q3–2024Q4	10.09%	20.09%	0.50	3.46
2020Q1–2024Q4	7.62%	14.42%	0.53	1.18
2024Q1–2024Q4	−3.38%	10.68%	−0.32	−0.32
1977Q3–2024Q4	10.09%	20.09%	0.50	3.46
2020Q1–2024Q4	7.62%	14.42%	0.53	1.18
2024Q1–2024Q4	−3.38%	10.68%	−0.32	−0.32
1977Q3–2024Q4	8.65%	24.33%	0.36	2.45
2020Q1–2024Q4	14.52%	18.12%	0.80	1.79
2024Q1–2024Q4	21.86%	21.75%	1.01	1.01
1977Q3–2024Q4	8.65%	24.33%	0.36	2.45
2020Q1–2024Q4	14.52%	18.12%	0.80	1.79
2024Q1–2024Q4	21.86%	21.75%	1.01	1.01

Horizon	Mean	95% interval	P(neg)
Next quarter	0.171	0.007 – 0.334	0.02
Next year	0.176	0.008 – 0.335	0.02
Next five years	0.192	0.011 – 0.348	0.02
Next quarter	0.171	0.008 – 0.332	0.02
Next year	0.176	0.010 – 0.334	0.02
Next five years	0.192	0.013 – 0.346	0.02
Next quarter	0.162	0.030 – 0.290	0.01
Next year	0.159	0.025 – 0.292	0.01
Next five years	0.151	−0.002 – 0.296	0.03
Next quarter	0.161	0.030 – 0.291	0.01
Next year	0.159	0.025 – 0.292	0.01
Next five years	0.151	−0.002 – 0.297	0.03