MomOffSeason16YrPlus · Other · Heston and Sadka (2008)
Off season reversal years 16 to 20
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1941Q2 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
2.32%
95% interval −0.49% to 4.96%
Next year
2026Q4–2027Q3
2.33%
95% interval −0.49% to 4.97%
Next five years
2026Q4–2031Q3
2.39%
95% interval −0.49% to 5.01%
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
+511% since 1941Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1941Q2–2024Q4 | 2.29% | 8.84% | 0.26 | 2.37 |
| 2020Q1–2024Q4 | −0.12% | 10.86% | −0.01 | −0.02 |
| 2024Q1–2024Q4 | 1.99% | 11.42% | 0.17 | 0.17 |
| 1941Q2–2024Q4 | 2.47% | 7.42% | 0.33 | 3.05 |
| 2020Q1–2024Q4 | −1.70% | 11.32% | −0.15 | −0.34 |
| 2024Q1–2024Q4 | 0.98% | 5.85% | 0.17 | 0.17 |
| 1941Q2–2024Q4 | 2.86% | 11.89% | 0.24 | 2.20 |
| 2020Q1–2024Q4 | −2.65% | 15.39% | −0.17 | −0.39 |
| 2024Q1–2024Q4 | −3.06% | 12.87% | −0.24 | −0.24 |
| 1941Q2–2024Q4 | 3.27% | 9.38% | 0.35 | 3.19 |
| 2020Q1–2024Q4 | 0.99% | 13.48% | 0.07 | 0.16 |
| 2024Q1–2024Q4 | −1.16% | 8.10% | −0.14 | −0.14 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.23 | 0.02 – 0.44 | 0.02 |
| 2026Q4–2027Q3 | 0.23 | 0.02 – 0.44 | 0.02 |
| 2026Q4–2031Q3 | 0.22 | 0.01 – 0.44 | 0.02 |
| 2026Q4 | 0.26 | −0.01 – 0.50 | 0.03 |
| 2026Q4–2027Q3 | 0.26 | −0.01 – 0.50 | 0.03 |
| 2026Q4–2031Q3 | 0.25 | −0.01 – 0.49 | 0.03 |
| 2026Q4 | 0.20 | −0.04 – 0.42 | 0.05 |
| 2026Q4–2027Q3 | 0.20 | −0.04 – 0.42 | 0.05 |
| 2026Q4–2031Q3 | 0.20 | −0.04 – 0.42 | 0.05 |
| 2026Q4 | 0.30 | 0.06 – 0.52 | 0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.05 – 0.51 | 0.01 |
| 2026Q4–2031Q3 | 0.28 | 0.04 – 0.51 | 0.01 |