MomOffSeason11YrPlus · Other · Heston and Sadka (2008)

Off season reversal years 11 to 15

Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1936Q2 to 2024Q4.

Expected return · posterior mean, % per year, averaged over the window

Next quarter

2026Q4

0.23%

95% interval −3.96% to 3.46%

Next year

2026Q4–2027Q3

0.28%

95% interval −3.85% to 3.46%

Next five years

2026Q4–2031Q3

0.46%

95% interval −3.44% to 3.52%

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

+61% since 1936Q2 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1936Q2–2024Q4	2.43%	9.67%	0.25	2.37
2020Q1–2024Q4	−7.81%	12.75%	−0.61	−1.37
2024Q1–2024Q4	2.82%	13.15%	0.21	0.21
1936Q2–2024Q4	2.10%	7.32%	0.29	2.70
2020Q1–2024Q4	−3.03%	8.14%	−0.37	−0.83
2024Q1–2024Q4	−0.68%	4.29%	−0.16	−0.16
1936Q2–2024Q4	1.31%	12.46%	0.11	0.99
2020Q1–2024Q4	−11.09%	14.09%	−0.79	−1.76
2024Q1–2024Q4	−2.49%	18.60%	−0.13	−0.13
1936Q2–2024Q4	1.95%	9.20%	0.21	2.00
2020Q1–2024Q4	−2.41%	10.96%	−0.22	−0.49
2024Q1–2024Q4	0.82%	6.33%	0.13	0.13

Forecast Sharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2026Q4	0.17	−0.17 – 0.43	0.13
2026Q4–2027Q3	0.17	−0.16 – 0.43	0.13
2026Q4–2031Q3	0.18	−0.11 – 0.43	0.10
2026Q4	0.20	−0.10 – 0.45	0.08
2026Q4–2027Q3	0.21	−0.09 – 0.45	0.08
2026Q4–2031Q3	0.21	−0.06 – 0.45	0.06
2026Q4	0.02	−0.32 – 0.28	0.41
2026Q4–2027Q3	0.02	−0.29 – 0.28	0.40
2026Q4–2031Q3	0.04	−0.22 – 0.28	0.36
2026Q4	0.16	−0.11 – 0.38	0.11
2026Q4–2027Q3	0.16	−0.10 – 0.39	0.10
2026Q4–2031Q3	0.17	−0.08 – 0.39	0.09