Mom12mOffSeason · Other · Heston and Sadka (2008)
Momentum without the seasonal part
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
16.22%
95% interval 10.91% to 21.85%
Next year
2026Q4–2027Q3
16.19%
95% interval 10.88% to 21.78%
Next five years
2026Q4–2031Q3
16.08%
95% interval 10.85% to 21.61%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+33,218,205% since 1926Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1926Q3–2024Q4 | 10.74% | 20.71% | 0.52 | 5.15 |
| 2020Q1–2024Q4 | 15.60% | 23.53% | 0.66 | 1.48 |
| 2024Q1–2024Q4 | 32.00% | 11.50% | 2.78 | 2.78 |
| 1926Q3–2024Q4 | 11.66% | 19.88% | 0.59 | 5.82 |
| 2020Q1–2024Q4 | 19.27% | 21.88% | 0.88 | 1.97 |
| 2024Q1–2024Q4 | 16.36% | 20.68% | 0.79 | 0.79 |
| 1926Q3–2024Q4 | 16.82% | 26.46% | 0.64 | 6.31 |
| 2020Q1–2024Q4 | 31.83% | 35.29% | 0.90 | 2.02 |
| 2024Q1–2024Q4 | 42.68% | 22.56% | 1.89 | 1.89 |
| 1926Q3–2024Q4 | 14.71% | 25.69% | 0.57 | 5.68 |
| 2020Q1–2024Q4 | 24.36% | 32.74% | 0.74 | 1.66 |
| 2024Q1–2024Q4 | 8.83% | 30.75% | 0.29 | 0.29 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.49 | 0.30 – 0.68 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.30 – 0.68 | <0.01 |
| 2026Q4–2031Q3 | 0.49 | 0.29 – 0.68 | <0.01 |
| 2026Q4 | 0.56 | 0.36 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.36 – 0.75 | <0.01 |
| 2026Q4–2031Q3 | 0.55 | 0.35 – 0.75 | <0.01 |
| 2026Q4 | 0.61 | 0.41 – 0.83 | <0.01 |
| 2026Q4–2027Q3 | 0.61 | 0.41 – 0.81 | <0.01 |
| 2026Q4–2031Q3 | 0.59 | 0.39 – 0.79 | <0.01 |
| 2026Q4 | 0.55 | 0.35 – 0.75 | <0.01 |
| 2026Q4–2027Q3 | 0.55 | 0.35 – 0.74 | <0.01 |
| 2026Q4–2031Q3 | 0.53 | 0.33 – 0.73 | <0.01 |