IndMom · Momentum · Grinblatt and Moskowitz (1999)

Industry Momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.78%

95% interval −0.11% to 1.70%

Next year

0.83%

95% interval −0.08% to 1.72%

Next five years

0.97%

95% interval −0.02% to 1.89%

Next quarter

0.57%

95% interval −0.34% to 1.54%

Next year

0.66%

95% interval −0.25% to 1.56%

Next five years

0.93%

95% interval −0.01% to 1.78%

Next quarter

1.19%

95% interval 0.26% to 2.11%

Next year

1.19%

95% interval 0.26% to 2.11%

Next five years

1.22%

95% interval 0.26% to 2.16%

Next quarter

1.23%

95% interval 0.34% to 2.06%

Next year

1.25%

95% interval 0.37% to 2.07%

Next five years

1.31%

95% interval 0.41% to 2.14%

Next quarter

0.79%

95% interval 0.17% to 1.46%

Next year

0.83%

95% interval 0.16% to 1.49%

Next five years

0.94%

95% interval 0.12% to 1.68%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+2,202% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	4.58%	16.36%	0.28	2.78
2020Q1–2024Q4	1.75%	20.85%	0.08	0.19
2024Q1–2024Q4	−0.02%	12.10%	−0.00	−0.00
1926Q3–2024Q4	4.87%	13.93%	0.35	3.47
2020Q1–2024Q4	−1.08%	14.92%	−0.07	−0.16
2024Q1–2024Q4	−2.32%	11.06%	−0.21	−0.21
1926Q3–2024Q4	5.27%	18.96%	0.28	2.76
2020Q1–2024Q4	6.75%	23.09%	0.29	0.65
2024Q1–2024Q4	2.94%	13.33%	0.22	0.22
1926Q3–2024Q4	5.83%	15.87%	0.37	3.65
2020Q1–2024Q4	5.67%	18.47%	0.31	0.69
2024Q1–2024Q4	−4.15%	11.72%	−0.35	−0.35
1926Q3–2024Q4	4.62%	12.17%	0.38	3.77
2020Q1–2024Q4	3.80%	14.05%	0.27	0.60
2024Q1–2024Q4	6.02%	13.58%	0.44	0.44

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.096	−0.013 – 0.208	0.04
Next year	0.102	−0.010 – 0.211	0.04
Next five years	0.119	−0.002 – 0.232	0.03
Next quarter	0.082	−0.050 – 0.221	0.12
Next year	0.095	−0.035 – 0.225	0.08
Next five years	0.134	−0.001 – 0.255	0.03
Next quarter	0.125	0.027 – 0.222	0.01
Next year	0.126	0.027 – 0.223	0.01
Next five years	0.128	0.027 – 0.228	0.01
Next quarter	0.154	0.043 – 0.260	0.00
Next year	0.157	0.046 – 0.261	0.00
Next five years	0.165	0.051 – 0.269	0.00
Next quarter	0.131	0.029 – 0.239	0.01
Next year	0.137	0.026 – 0.246	0.01
Next five years	0.154	0.020 – 0.277	0.01