FirmAgeMom · Momentum · Zhang (2006)

Firm Age - Momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

4.36%

95% interval 3.29% to 5.34%

Next year

4.16%

95% interval 3.07% to 5.25%

Next five years

3.59%

95% interval 2.08% to 5.04%

Next quarter

2.32%

95% interval 1.27% to 3.50%

Next year

2.47%

95% interval 1.32% to 3.65%

Next five years

2.89%

95% interval 1.44% to 4.23%

Next quarter

7.25%

95% interval 5.10% to 9.08%

Next year

6.76%

95% interval 4.87% to 8.55%

Next five years

5.33%

95% interval 3.42% to 7.26%

Next quarter

3.08%

95% interval 1.68% to 4.75%

Next year

3.28%

95% interval 1.78% to 4.94%

Next five years

3.86%

95% interval 1.97% to 5.64%

Cumulative market-adjusted return

+41,816,775% since 1927Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	15.84%	21.33%	0.74	7.30
2020Q1–2024Q4	24.28%	25.51%	0.95	2.13
2024Q1–2024Q4	35.02%	16.67%	2.10	2.10
1927Q3–2024Q4	15.53%	17.87%	0.87	8.53
2020Q1–2024Q4	17.34%	17.02%	1.02	2.28
2024Q1–2024Q4	−0.35%	6.39%	−0.05	−0.05
1927Q3–2024Q4	21.94%	27.91%	0.79	7.72
2020Q1–2024Q4	43.67%	37.65%	1.16	2.59
2024Q1–2024Q4	66.31%	40.65%	1.63	1.63
1927Q3–2024Q4	21.04%	23.11%	0.91	8.94
2020Q1–2024Q4	19.23%	21.78%	0.88	1.97
2024Q1–2024Q4	1.40%	12.97%	0.11	0.11

Horizon	Mean	95% interval
Next quarter	0.413	0.310 – 0.511
Next year	0.393	0.288 – 0.498
Next five years	0.337	0.194 – 0.473
Next quarter	0.264	0.144 – 0.395
Next year	0.279	0.149 – 0.413
Next five years	0.324	0.161 – 0.472
Next quarter	0.524	0.365 – 0.665
Next year	0.487	0.349 – 0.619
Next five years	0.382	0.245 – 0.518
Next quarter	0.269	0.148 – 0.413
Next year	0.286	0.155 – 0.429
Next five years	0.334	0.170 – 0.488