Mom6mJunk · Momentum · Avramov et al (2007)

Junk Stock Momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1970Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.54%

95% interval 1.22% to 3.82%

Next year

2.51%

95% interval 1.18% to 3.83%

Next five years

2.42%

95% interval 0.94% to 3.83%

Next quarter

2.80%

95% interval 1.68% to 3.97%

Next year

2.80%

95% interval 1.59% to 3.99%

Next five years

2.79%

95% interval 1.34% to 4.07%

Next quarter

4.79%

95% interval 2.42% to 7.33%

Next year

4.62%

95% interval 2.43% to 6.92%

Next five years

4.13%

95% interval 2.03% to 6.19%

Next quarter

4.52%

95% interval 2.93% to 6.15%

Next year

4.51%

95% interval 2.80% to 6.17%

Next five years

4.50%

95% interval 2.39% to 6.27%

Cumulative market-adjusted return

+11,419% since 1970Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1970Q2–2024Q4	10.96%	20.94%	0.52	3.87
2020Q1–2024Q4	19.23%	24.55%	0.78	1.75
2024Q1–2024Q4	28.18%	20.30%	1.39	1.39
1970Q2–2024Q4	13.30%	17.76%	0.75	5.54
2020Q1–2024Q4	15.15%	18.24%	0.83	1.86
2024Q1–2024Q4	18.79%	11.18%	1.68	1.68
1970Q2–2024Q4	18.20%	29.54%	0.62	4.56
2020Q1–2024Q4	45.36%	35.86%	1.26	2.83
2024Q1–2024Q4	56.26%	27.25%	2.07	2.07
1970Q2–2024Q4	21.56%	24.65%	0.87	6.47
2020Q1–2024Q4	23.88%	29.68%	0.80	1.80
2024Q1–2024Q4	29.80%	17.65%	1.69	1.69

Horizon	Mean	95% interval
Next quarter	0.243	0.116 – 0.367
Next year	0.240	0.113 – 0.367
Next five years	0.231	0.089 – 0.367
Next quarter	0.316	0.189 – 0.447
Next year	0.315	0.179 – 0.449
Next five years	0.314	0.151 – 0.458
Next quarter	0.325	0.164 – 0.502
Next year	0.313	0.164 – 0.471
Next five years	0.279	0.137 – 0.419
Next quarter	0.367	0.238 – 0.499
Next year	0.366	0.227 – 0.502
Next five years	0.364	0.193 – 0.509