iomom_cust · Lead lag · Menzly and Ozbas (2010)

Customers momentum

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1986Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.92%

95% interval 0.15% to 1.67%

Next year

0.91%

95% interval 0.14% to 1.67%

Next five years

0.87%

95% interval 0.05% to 1.67%

Next quarter

0.58%

95% interval −0.16% to 1.39%

Next year

0.59%

95% interval −0.20% to 1.41%

Next five years

0.63%

95% interval −0.34% to 1.51%

Next quarter

0.35%

95% interval −0.53% to 1.25%

Next year

0.35%

95% interval −0.57% to 1.27%

Next five years

0.34%

95% interval −0.73% to 1.37%

Next quarter

0.51%

95% interval −0.47% to 1.58%

Next year

0.55%

95% interval −0.47% to 1.59%

Next five years

0.67%

95% interval −0.47% to 1.69%

Cumulative market-adjusted return

+291% since 1986Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1986Q2–2024Q4	4.08%	10.40%	0.39	2.44
2020Q1–2024Q4	7.07%	10.69%	0.66	1.48
2024Q1–2024Q4	6.79%	4.31%	1.57	1.57
1986Q2–2024Q4	3.52%	10.54%	0.33	2.08
2020Q1–2024Q4	−1.82%	14.06%	−0.13	−0.29
2024Q1–2024Q4	2.29%	12.40%	0.18	0.18
1986Q2–2024Q4	1.85%	12.73%	0.15	0.90
2020Q1–2024Q4	2.93%	8.54%	0.34	0.77
2024Q1–2024Q4	−5.70%	3.64%	−1.57	−1.57
1986Q2–2024Q4	3.94%	12.07%	0.33	2.03
2020Q1–2024Q4	−4.39%	14.49%	−0.30	−0.68
2024Q1–2024Q4	−3.41%	17.64%	−0.19	−0.19

Horizon	Mean	95% interval	P(neg)
Next quarter	0.177	0.028 – 0.322	0.01
Next year	0.174	0.027 – 0.321	0.01
Next five years	0.167	0.010 – 0.320	0.02
Next quarter	0.110	−0.031 – 0.264	0.06
Next year	0.113	−0.038 – 0.267	0.07
Next five years	0.119	−0.065 – 0.286	0.09
Next quarter	0.055	−0.083 – 0.197	0.22
Next year	0.055	−0.090 – 0.200	0.23
Next five years	0.054	−0.114 – 0.215	0.25
Next quarter	0.084	−0.079 – 0.262	0.18
Next year	0.091	−0.079 – 0.263	0.15
Next five years	0.111	−0.078 – 0.280	0.11