ResidualMomentum · Momentum · Blitz, Huij and Martens (2011)
Momentum based on FF3 residuals
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1930Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
1.72%
95% interval 1.14% to 2.30%
Next year
1.72%
95% interval 1.14% to 2.29%
Next five years
1.72%
95% interval 1.14% to 2.28%
Cumulative market-adjusted return
+57,240% since 1930Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1930Q3–2024Q4 | 7.40% | 11.29% | 0.66 | 6.37 |
| 2020Q1–2024Q4 | 5.22% | 11.66% | 0.45 | 1.00 |
| 2024Q1–2024Q4 | 10.89% | 16.59% | 0.66 | 0.66 |
| 1930Q3–2024Q4 | 10.24% | 9.76% | 1.05 | 10.20 |
| 2020Q1–2024Q4 | 12.38% | 6.94% | 1.79 | 3.99 |
| 2024Q1–2024Q4 | 5.18% | 5.41% | 0.96 | 0.96 |
| 1930Q3–2024Q4 | 9.41% | 14.36% | 0.65 | 6.37 |
| 2020Q1–2024Q4 | 4.96% | 14.64% | 0.34 | 0.76 |
| 2024Q1–2024Q4 | 5.64% | 19.17% | 0.29 | 0.29 |
| 1930Q3–2024Q4 | 12.51% | 12.60% | 0.99 | 9.64 |
| 2020Q1–2024Q4 | 14.01% | 9.21% | 1.52 | 3.40 |
| 2024Q1–2024Q4 | 1.38% | 7.72% | 0.18 | 0.18 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.305 | 0.201 – 0.407 | 0.00 |
| Next year | 0.305 | 0.201 – 0.406 | 0.00 |
| Next five years | 0.305 | 0.200 – 0.404 | 0.00 |
| Next quarter | 0.462 | 0.356 – 0.570 | 0.00 |
| Next year | 0.462 | 0.348 – 0.572 | 0.00 |
| Next five years | 0.462 | 0.321 – 0.582 | 0.00 |
| Next quarter | 0.298 | 0.180 – 0.407 | 0.00 |
| Next year | 0.299 | 0.184 – 0.404 | 0.00 |
| Next five years | 0.303 | 0.193 – 0.404 | 0.00 |
| Next quarter | 0.429 | 0.314 – 0.551 | 0.00 |
| Next year | 0.432 | 0.311 – 0.551 | 0.00 |
| Next five years | 0.439 | 0.303 – 0.561 | 0.00 |