MomSeason06YrPlus · Other · Heston and Sadka (2008)
Return seasonality years 6 to 10
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1932Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
3.68%
95% interval 0.51% to 7.17%
Next year
2026Q4–2027Q3
3.74%
95% interval 0.43% to 7.35%
Next five years
2026Q4–2031Q3
3.97%
95% interval 0.04% to 8.06%
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
+27,624% since 1932Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1932Q1–2024Q4 | 6.22% | 10.66% | 0.58 | 5.63 |
| 2020Q1–2024Q4 | 3.00% | 11.41% | 0.26 | 0.59 |
| 2024Q1–2024Q4 | 5.48% | 4.81% | 1.14 | 1.14 |
| 1932Q1–2024Q4 | 6.78% | 9.21% | 0.74 | 7.10 |
| 2020Q1–2024Q4 | −1.65% | 9.80% | −0.17 | −0.38 |
| 2024Q1–2024Q4 | −11.31% | 10.80% | −1.05 | −1.05 |
| 1932Q1–2024Q4 | 7.05% | 13.86% | 0.51 | 4.90 |
| 2020Q1–2024Q4 | 4.39% | 14.92% | 0.29 | 0.66 |
| 2024Q1–2024Q4 | −4.96% | 8.63% | −0.57 | −0.57 |
| 1932Q1–2024Q4 | 8.24% | 11.79% | 0.70 | 6.73 |
| 2020Q1–2024Q4 | −3.94% | 15.94% | −0.25 | −0.55 |
| 2024Q1–2024Q4 | −25.90% | 19.60% | −1.32 | −1.32 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.39 | 0.14 – 0.65 | <0.01 |
| 2026Q4–2027Q3 | 0.36 | 0.12 – 0.62 | <0.01 |
| 2026Q4–2031Q3 | 0.30 | 0.06 – 0.58 | <0.01 |
| 2026Q4 | 0.54 | 0.07 – 0.87 | 0.01 |
| 2026Q4–2027Q3 | 0.54 | 0.07 – 0.87 | 0.01 |
| 2026Q4–2031Q3 | 0.54 | 0.08 – 0.89 | 0.01 |
| 2026Q4 | 0.27 | 0.04 – 0.52 | 0.01 |
| 2026Q4–2027Q3 | 0.25 | 0.03 – 0.49 | 0.01 |
| 2026Q4–2031Q3 | 0.20 | <0.01 – 0.43 | 0.02 |
| 2026Q4 | 0.32 | −0.17 – 0.78 | 0.13 |
| 2026Q4–2027Q3 | 0.32 | −0.15 – 0.78 | 0.12 |
| 2026Q4–2031Q3 | 0.34 | −0.07 – 0.78 | 0.07 |