Mom12m · Momentum · Jegadeesh and Titman (1993)

Momentum (12 month)

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

Expected return · posterior mean, % per quarter

Next quarter

3.43%

95% interval 2.38% to 4.50%

Next year

3.43%

95% interval 2.35% to 4.51%

Next five years

3.44%

95% interval 2.24% to 4.58%

Next quarter

3.32%

95% interval 2.11% to 4.63%

Next year

3.29%

95% interval 2.13% to 4.52%

Next five years

3.19%

95% interval 2.05% to 4.34%

Next quarter

5.85%

95% interval 4.18% to 7.80%

Next year

5.74%

95% interval 4.17% to 7.54%

Next five years

5.41%

95% interval 3.91% to 7.04%

Next quarter

3.95%

95% interval 2.43% to 5.69%

Next year

3.92%

95% interval 2.46% to 5.52%

Next five years

3.83%

95% interval 2.48% to 5.25%

Cumulative market-adjusted return

+16,991,557% since 1927Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q1–2024Q4	14.92%	21.66%	0.69	6.82
2020Q1–2024Q4	10.98%	30.69%	0.36	0.80
2024Q1–2024Q4	38.55%	23.74%	1.62	1.62
1927Q1–2024Q4	13.45%	22.29%	0.60	5.97
2020Q1–2024Q4	19.65%	26.10%	0.75	1.68
2024Q1–2024Q4	29.66%	28.47%	1.04	1.04
1927Q1–2024Q4	22.95%	28.00%	0.82	8.11
2020Q1–2024Q4	35.88%	38.44%	0.93	2.09
2024Q1–2024Q4	82.03%	29.67%	2.76	2.76
1927Q1–2024Q4	16.21%	27.55%	0.59	5.82
2020Q1–2024Q4	26.81%	32.14%	0.83	1.87
2024Q1–2024Q4	41.00%	36.11%	1.14	1.14

Horizon	Mean	95% interval
Next quarter	0.317	0.219 – 0.415
Next year	0.317	0.216 – 0.417
Next five years	0.317	0.207 – 0.422
Next quarter	0.298	0.189 – 0.418
Next year	0.295	0.190 – 0.407
Next five years	0.286	0.184 – 0.390
Next quarter	0.418	0.299 – 0.560
Next year	0.410	0.296 – 0.540
Next five years	0.386	0.278 – 0.501
Next quarter	0.287	0.176 – 0.415
Next year	0.284	0.179 – 0.401
Next five years	0.278	0.180 – 0.380