Goldman Sachs gathered the eleven times since 1980 that the long/short momentum factor gained more than 20% over three months, then tracked the path afterward. The average episode, in navy, gives its gains back near the three-month mark before recovering over the following quarter. The current episode, in blue, ran hotter than average into the peak and then fell further and faster, closing July near the low end of the historical range without breaking out of it. The grey band widens sharply past month four, which is the honest part of the picture: the range of historical outcomes from here is wide.
Source: Goldman Sachs Global Investment Research