IntMom · Momentum · Novy-Marx (2012)

Intermediate Momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.94%

95% interval 0.63% to 3.22%

Next year

2.01%

95% interval 0.73% to 3.22%

Next five years

2.23%

95% interval 0.97% to 3.33%

Next quarter

1.93%

95% interval 0.63% to 3.23%

Next year

2.01%

95% interval 0.73% to 3.23%

Next five years

2.23%

95% interval 0.97% to 3.34%

Next quarter

4.79%

95% interval 3.26% to 6.76%

Next year

4.66%

95% interval 3.23% to 6.40%

Next five years

4.27%

95% interval 2.91% to 5.71%

Next quarter

4.81%

95% interval 3.28% to 6.72%

Next year

4.68%

95% interval 3.24% to 6.38%

Next five years

4.29%

95% interval 2.90% to 5.72%

Cumulative market-adjusted return

+296,546% since 1927Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q1–2024Q4	10.34%	19.97%	0.52	5.13
2020Q1–2024Q4	−4.45%	30.40%	−0.15	−0.33
2024Q1–2024Q4	24.15%	37.34%	0.65	0.65
1927Q1–2024Q4	10.34%	19.97%	0.52	5.13
2020Q1–2024Q4	−4.45%	30.40%	−0.15	−0.33
2024Q1–2024Q4	24.15%	37.34%	0.65	0.65
1927Q1–2024Q4	17.94%	24.53%	0.73	7.24
2020Q1–2024Q4	19.28%	38.91%	0.50	1.11
2024Q1–2024Q4	86.65%	42.05%	2.06	2.06
1927Q1–2024Q4	17.94%	24.53%	0.73	7.24
2020Q1–2024Q4	19.28%	38.91%	0.50	1.11
2024Q1–2024Q4	86.65%	42.05%	2.06	2.06

Horizon	Mean	95% interval
Next quarter	0.194	0.064 – 0.323
Next year	0.201	0.073 – 0.323
Next five years	0.223	0.097 – 0.334
Next quarter	0.194	0.064 – 0.324
Next year	0.201	0.073 – 0.324
Next five years	0.223	0.097 – 0.334
Next quarter	0.391	0.265 – 0.555
Next year	0.380	0.262 – 0.523
Next five years	0.348	0.236 – 0.465
Next quarter	0.393	0.266 – 0.553
Next year	0.382	0.264 – 0.522
Next five years	0.350	0.236 – 0.467