STreversal · Short-term reversal · Jegadeesh (1990)

Short term reversal

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

Expected return · posterior mean, % per quarter

Next quarter

−0.53%

95% interval −1.91% to 1.16%

Next year

−0.30%

95% interval −1.65% to 1.19%

Next five years

0.34%

95% interval −1.01% to 1.55%

Next quarter

0.86%

95% interval −0.01% to 1.84%

Next year

1.34%

95% interval 0.27% to 2.45%

Next five years

2.74%

95% interval 1.07% to 4.37%

Next quarter

−2.23%

95% interval −4.35% to 0.46%

Next year

−1.49%

95% interval −3.52% to 0.87%

Next five years

0.63%

95% interval −1.36% to 2.46%

Next quarter

2.22%

95% interval 1.02% to 3.46%

Next year

2.84%

95% interval 1.30% to 4.32%

Next five years

4.63%

95% interval 2.12% to 7.12%

Cumulative market-adjusted return

+489% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	3.51%	18.53%	0.19	1.88
2020Q1–2024Q4	−14.58%	19.48%	−0.75	−1.67
2024Q1–2024Q4	−14.22%	20.13%	−0.71	−0.71
1926Q3–2024Q4	19.78%	20.35%	0.97	9.65
2020Q1–2024Q4	1.20%	16.92%	0.07	0.16
2024Q1–2024Q4	−3.64%	7.32%	−0.50	−0.50
1926Q3–2024Q4	9.25%	24.35%	0.38	3.77
2020Q1–2024Q4	−20.39%	32.71%	−0.62	−1.39
2024Q1–2024Q4	−40.72%	29.99%	−1.36	−1.36
1926Q3–2024Q4	32.18%	28.86%	1.12	11.07
2020Q1–2024Q4	7.90%	23.13%	0.34	0.76
2024Q1–2024Q4	2.36%	15.86%	0.15	0.15

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.057	−0.209 – 0.125	0.75
Next year	−0.033	−0.180 – 0.129	0.67
Next five years	0.037	−0.109 – 0.167	0.29
Next quarter	0.088	−0.001 – 0.188	0.03
Next year	0.136	0.027 – 0.251	0.01
Next five years	0.271	0.105 – 0.431	0.00
Next quarter	−0.186	−0.367 – 0.038	0.95
Next year	−0.124	−0.293 – 0.072	0.90
Next five years	0.052	−0.111 – 0.202	0.25
Next quarter	0.163	0.074 – 0.255	0.00
Next year	0.206	0.095 – 0.313	0.00
Next five years	0.329	0.152 – 0.506	0.00