MomSeason11YrPlus · Other · Heston and Sadka (2008)
Return seasonality years 11 to 15
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1937Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.38%
95% interval 0.48% to 8.95%
Next year
2026Q4–2027Q3
5.44%
95% interval 0.58% to 8.96%
Next five years
2026Q4–2031Q3
5.65%
95% interval 0.96% to 9.01%
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
+34,611% since 1937Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1937Q1–2024Q4 | 5.71% | 9.11% | 0.63 | 5.88 |
| 2020Q1–2024Q4 | −2.60% | 11.65% | −0.22 | −0.50 |
| 2024Q1–2024Q4 | 3.97% | 5.57% | 0.71 | 0.71 |
| 1937Q1–2024Q4 | 5.47% | 6.77% | 0.81 | 7.57 |
| 2020Q1–2024Q4 | −0.11% | 9.53% | −0.01 | −0.03 |
| 2024Q1–2024Q4 | −8.60% | 4.48% | −1.92 | −1.92 |
| 1937Q1–2024Q4 | 7.40% | 11.94% | 0.62 | 5.81 |
| 2020Q1–2024Q4 | −8.18% | 16.83% | −0.49 | −1.09 |
| 2024Q1–2024Q4 | 5.48% | 15.91% | 0.34 | 0.34 |
| 1937Q1–2024Q4 | 6.98% | 8.20% | 0.85 | 7.99 |
| 2020Q1–2024Q4 | 2.46% | 10.95% | 0.22 | 0.50 |
| 2024Q1–2024Q4 | −8.66% | 6.32% | −1.37 | −1.37 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.51 | 0.17 – 0.77 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.16 – 0.77 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.15 – 0.78 | <0.01 |
| 2026Q4 | 0.54 | 0.01 – 0.92 | 0.02 |
| 2026Q4–2027Q3 | 0.54 | 0.01 – 0.94 | 0.02 |
| 2026Q4–2031Q3 | 0.54 | 0.04 – 0.95 | 0.01 |
| 2026Q4 | 0.45 | 0.04 – 0.75 | 0.01 |
| 2026Q4–2027Q3 | 0.45 | 0.05 – 0.75 | 0.01 |
| 2026Q4–2031Q3 | 0.45 | 0.06 – 0.75 | 0.01 |
| 2026Q4 | 0.71 | 0.31 – 0.98 | <0.01 |
| 2026Q4–2027Q3 | 0.71 | 0.30 – 0.99 | <0.01 |
| 2026Q4–2031Q3 | 0.70 | 0.26 – 1.00 | <0.01 |