MomOffSeason06YrPlus · Other · Heston and Sadka (2008)
Off season reversal years 6 to 10
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.80%
95% interval 2.26% to 8.95%
Next year
2026Q4–2027Q3
5.80%
95% interval 2.27% to 8.96%
Next five years
2026Q4–2031Q3
5.83%
95% interval 2.18% to 9.04%
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
+17,015% since 1931Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1931Q2–2024Q4 | 6.07% | 11.51% | 0.53 | 5.10 |
| 2020Q1–2024Q4 | 9.99% | 12.44% | 0.80 | 1.79 |
| 2024Q1–2024Q4 | −2.87% | 11.52% | −0.25 | −0.25 |
| 1931Q2–2024Q4 | 6.19% | 9.61% | 0.64 | 6.24 |
| 2020Q1–2024Q4 | 7.92% | 13.78% | 0.57 | 1.28 |
| 2024Q1–2024Q4 | 5.08% | 15.85% | 0.32 | 0.32 |
| 1931Q2–2024Q4 | 6.63% | 14.98% | 0.44 | 4.29 |
| 2020Q1–2024Q4 | 7.75% | 19.99% | 0.39 | 0.87 |
| 2024Q1–2024Q4 | −9.20% | 20.09% | −0.46 | −0.46 |
| 1931Q2–2024Q4 | 6.36% | 12.50% | 0.51 | 4.93 |
| 2020Q1–2024Q4 | 2.51% | 17.41% | 0.14 | 0.32 |
| 2024Q1–2024Q4 | −12.48% | 14.21% | −0.88 | −0.88 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.51 | 0.29 – 0.72 | <0.01 |
| 2026Q4–2027Q3 | 0.49 | 0.27 – 0.70 | <0.01 |
| 2026Q4–2031Q3 | 0.44 | 0.21 – 0.66 | <0.01 |
| 2026Q4 | 0.58 | 0.36 – 0.79 | <0.01 |
| 2026Q4–2027Q3 | 0.57 | 0.34 – 0.79 | <0.01 |
| 2026Q4–2031Q3 | 0.55 | 0.28 – 0.79 | <0.01 |
| 2026Q4 | 0.39 | 0.15 – 0.60 | <0.01 |
| 2026Q4–2027Q3 | 0.38 | 0.14 – 0.60 | <0.01 |
| 2026Q4–2031Q3 | 0.37 | 0.12 – 0.59 | <0.01 |
| 2026Q4 | 0.41 | 0.08 – 0.65 | 0.01 |
| 2026Q4–2027Q3 | 0.41 | 0.08 – 0.65 | 0.01 |
| 2026Q4–2031Q3 | 0.40 | 0.09 – 0.65 | 0.01 |