MomRev · Momentum · Chan and Ko (2006)
Momentum and LT Reversal
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1929Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
−0.10%
95% interval −2.46% to 2.18%
Next year
0.24%
95% interval −1.89% to 2.29%
Next five years
1.25%
95% interval −0.59% to 2.88%
OAP publishes no uniform quintile or decile portfolios for this signal, so only the paper's original portfolio convention is shown.
Cumulative market-adjusted return
+41,502% since 1929Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1929Q1–2024Q4 | 8.89% | 22.16% | 0.40 | 3.93 |
| 2020Q1–2024Q4 | 18.22% | 36.29% | 0.50 | 1.12 |
| 2024Q1–2024Q4 | −33.70% | 60.66% | −0.56 | −0.56 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | −0.010 | −0.228 – 0.197 | 0.53 |
| Next year | 0.022 | −0.174 – 0.207 | 0.41 |
| Next five years | 0.113 | −0.053 – 0.260 | 0.09 |