Mom6m · Momentum · Jegadeesh and Titman (1993)

Momentum (6 month)

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

Expected return · posterior mean, % per quarter

Next quarter

2.17%

95% interval 1.25% to 3.12%

Next year

2.18%

95% interval 1.11% to 3.24%

Next five years

2.21%

95% interval 0.69% to 3.67%

Next quarter

3.18%

95% interval 2.05% to 4.19%

Next year

3.01%

95% interval 1.89% to 4.10%

Next five years

2.49%

95% interval 1.10% to 3.86%

Next quarter

6.56%

95% interval 4.33% to 8.16%

Next year

6.08%

95% interval 4.18% to 7.66%

Next five years

4.69%

95% interval 2.96% to 6.43%

Next quarter

3.46%

95% interval 1.94% to 4.88%

Next year

3.32%

95% interval 1.90% to 4.75%

Next five years

2.93%

95% interval 1.47% to 4.42%

Cumulative market-adjusted return

+414,050% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	10.72%	20.23%	0.53	5.26
2020Q1–2024Q4	19.92%	24.94%	0.80	1.79
2024Q1–2024Q4	18.69%	23.67%	0.79	0.79
1926Q3–2024Q4	10.27%	20.95%	0.49	4.87
2020Q1–2024Q4	23.32%	20.03%	1.16	2.60
2024Q1–2024Q4	14.35%	26.94%	0.53	0.53
1926Q3–2024Q4	18.69%	25.50%	0.73	7.27
2020Q1–2024Q4	47.90%	28.00%	1.71	3.83
2024Q1–2024Q4	57.34%	27.06%	2.12	2.12
1926Q3–2024Q4	12.10%	25.31%	0.48	4.75
2020Q1–2024Q4	24.89%	25.39%	0.98	2.19
2024Q1–2024Q4	16.11%	31.49%	0.51	0.51

Horizon	Mean	95% interval
Next quarter	0.217	0.126 – 0.311
Next year	0.217	0.111 – 0.323
Next five years	0.218	0.068 – 0.363
Next quarter	0.306	0.196 – 0.405
Next year	0.288	0.180 – 0.395
Next five years	0.237	0.105 – 0.369
Next quarter	0.520	0.340 – 0.652
Next year	0.480	0.328 – 0.608
Next five years	0.367	0.232 – 0.503
Next quarter	0.274	0.153 – 0.389
Next year	0.263	0.150 – 0.377
Next five years	0.232	0.116 – 0.349