TrendFactor · Momentum · Han, Zhou, Zhu (2016)

Trend Factor

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

Expected return · posterior mean, % per quarter

Next quarter

1.95%

95% interval 0.35% to 3.59%

Next year

2.13%

95% interval 0.66% to 3.57%

Next five years

2.64%

95% interval 1.45% to 3.65%

Next quarter

1.86%

95% interval 1.09% to 2.73%

Next year

2.19%

95% interval 1.29% to 3.12%

Next five years

3.15%

95% interval 1.89% to 4.32%

Next quarter

2.19%

95% interval 0.69% to 4.06%

Next year

2.57%

95% interval 1.04% to 4.28%

Next five years

3.68%

95% interval 1.99% to 5.16%

Next quarter

2.39%

95% interval 1.50% to 3.37%

Next year

2.79%

95% interval 1.69% to 3.88%

Next five years

3.94%

95% interval 2.25% to 5.55%

Cumulative market-adjusted return

+8,879,929% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	12.98%	15.85%	0.82	8.12
2020Q1–2024Q4	−7.06%	15.77%	−0.45	−1.00
2024Q1–2024Q4	−10.27%	12.94%	−0.79	−0.79
1926Q3–2024Q4	19.10%	15.31%	1.25	12.38
2020Q1–2024Q4	5.25%	13.97%	0.38	0.84
2024Q1–2024Q4	−1.90%	12.39%	−0.15	−0.15
1926Q3–2024Q4	20.10%	21.64%	0.93	9.22
2020Q1–2024Q4	−6.75%	20.94%	−0.32	−0.72
2024Q1–2024Q4	−0.12%	15.61%	−0.01	−0.01
1926Q3–2024Q4	25.71%	20.88%	1.23	12.22
2020Q1–2024Q4	8.65%	18.12%	0.48	1.07
2024Q1–2024Q4	0.47%	14.90%	0.03	0.03

Horizon	Mean	95% interval	P(neg)
Next quarter	0.246	0.045 – 0.454	0.01
Next year	0.268	0.084 – 0.450	0.00
Next five years	0.332	0.181 – 0.460	0.00
Next quarter	0.249	0.147 – 0.362	0.00
Next year	0.291	0.173 – 0.410	0.00
Next five years	0.413	0.249 – 0.569	0.00
Next quarter	0.203	0.065 – 0.375	0.00
Next year	0.238	0.097 – 0.396	0.00
Next five years	0.340	0.183 – 0.477	0.00
Next quarter	0.238	0.149 – 0.330	0.00
Next year	0.274	0.166 – 0.383	0.00
Next five years	0.380	0.215 – 0.550	0.00