MomOffSeason · Other · Heston and Sadka (2008)
Off season long-term reversal
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
6.55%
95% interval 2.15% to 10.92%
Next year
2026Q4–2027Q3
6.54%
95% interval 2.08% to 10.95%
Next five years
2026Q4–2031Q3
6.49%
95% interval 1.84% to 11.06%
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
+11,269% since 1927Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q2–2024Q4 | 4.32% | 18.04% | 0.24 | 2.37 |
| 2020Q1–2024Q4 | 7.60% | 21.84% | 0.35 | 0.78 |
| 2024Q1–2024Q4 | −3.85% | 16.03% | −0.24 | −0.24 |
| 1927Q2–2024Q4 | 7.16% | 19.00% | 0.38 | 3.73 |
| 2020Q1–2024Q4 | 12.30% | 22.56% | 0.55 | 1.22 |
| 2024Q1–2024Q4 | −2.20% | 14.87% | −0.15 | −0.15 |
| 1927Q2–2024Q4 | 7.03% | 22.15% | 0.32 | 3.14 |
| 2020Q1–2024Q4 | 15.55% | 26.02% | 0.60 | 1.34 |
| 2024Q1–2024Q4 | −0.55% | 19.16% | −0.03 | −0.03 |
| 1927Q2–2024Q4 | 9.70% | 23.66% | 0.41 | 4.05 |
| 2020Q1–2024Q4 | 14.59% | 26.81% | 0.54 | 1.22 |
| 2024Q1–2024Q4 | 2.80% | 16.61% | 0.17 | 0.17 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.21 | <0.01 – 0.41 | 0.02 |
| 2026Q4–2027Q3 | 0.21 | <0.01 – 0.41 | 0.02 |
| 2026Q4–2031Q3 | 0.20 | −<0.01 – 0.41 | 0.03 |
| 2026Q4 | 0.30 | 0.07 – 0.52 | <0.01 |
| 2026Q4–2027Q3 | 0.30 | 0.07 – 0.51 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.05 – 0.51 | 0.01 |
| 2026Q4 | 0.30 | 0.10 – 0.50 | <0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.09 – 0.49 | <0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.07 – 0.47 | <0.01 |
| 2026Q4 | 0.32 | 0.09 – 0.55 | <0.01 |
| 2026Q4–2027Q3 | 0.32 | 0.08 – 0.55 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.06 – 0.54 | 0.01 |