MomVol · Momentum · Lee and Swaminathan (2000)
Momentum in high volume stocks
Long minus short portfolio using the original paper's sort and weighting, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
8.36%
95% interval 6.21% to 9.95%
Next year
7.54%
95% interval 5.58% to 9.26%
Next five years
5.16%
95% interval 2.96% to 7.37%
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
+94,193,754% since 1928Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q1–2024Q4 | 19.09% | 29.60% | 0.64 | 6.35 |
| 2020Q1–2024Q4 | 65.42% | 33.50% | 1.95 | 4.37 |
| 2024Q1–2024Q4 | 75.19% | 57.78% | 1.30 | 1.30 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.574 | 0.419 – 0.691 | 0.00 |
| Next year | 0.514 | 0.377 – 0.635 | 0.00 |
| Next five years | 0.348 | 0.199 – 0.497 | 0.00 |