MomSeason · Other · Heston and Sadka (2008)
Return seasonality years 2 to 5
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
−0.56%
95% interval −4.65% to 4.84%
Next year
2026Q4–2027Q3
−0.35%
95% interval −4.58% to 5.12%
Next five years
2026Q4–2031Q3
0.55%
95% interval −4.28% to 6.21%
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
+30,544% since 1928Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1928Q1–2024Q4 | 5.66% | 12.62% | 0.45 | 4.42 |
| 2020Q1–2024Q4 | −1.69% | 20.66% | −0.08 | −0.18 |
| 2024Q1–2024Q4 | 4.80% | 4.64% | 1.03 | 1.03 |
| 1928Q1–2024Q4 | 7.58% | 10.68% | 0.71 | 6.99 |
| 2020Q1–2024Q4 | −1.95% | 19.58% | −0.10 | −0.22 |
| 2024Q1–2024Q4 | −15.21% | 8.93% | −1.70 | −1.70 |
| 1928Q1–2024Q4 | 7.17% | 15.54% | 0.46 | 4.54 |
| 2020Q1–2024Q4 | −6.72% | 29.29% | −0.23 | −0.51 |
| 2024Q1–2024Q4 | −5.24% | 12.89% | −0.41 | −0.41 |
| 1928Q1–2024Q4 | 9.39% | 12.90% | 0.73 | 7.17 |
| 2020Q1–2024Q4 | −2.94% | 24.49% | −0.12 | −0.27 |
| 2024Q1–2024Q4 | −29.85% | 14.63% | −2.04 | −2.04 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.17 | −0.09 – 0.48 | 0.12 |
| 2026Q4–2027Q3 | 0.16 | −0.09 – 0.44 | 0.12 |
| 2026Q4–2031Q3 | 0.14 | −0.07 – 0.39 | 0.11 |
| 2026Q4 | 0.28 | −0.11 – 0.73 | 0.10 |
| 2026Q4–2027Q3 | 0.29 | −0.09 – 0.73 | 0.09 |
| 2026Q4–2031Q3 | 0.29 | −0.04 – 0.72 | 0.06 |
| 2026Q4 | −0.04 | −0.31 – 0.31 | 0.63 |
| 2026Q4–2027Q3 | −0.02 | −0.27 – 0.31 | 0.59 |
| 2026Q4–2031Q3 | 0.03 | −0.18 – 0.31 | 0.44 |
| 2026Q4 | 0.20 | −0.27 – 0.72 | 0.24 |
| 2026Q4–2027Q3 | 0.21 | −0.22 – 0.72 | 0.22 |
| 2026Q4–2031Q3 | 0.24 | −0.12 – 0.71 | 0.14 |