MomSeason16YrPlus · Other · Heston and Sadka (2008)
Return seasonality years 16 to 20
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1942Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
4.23%
95% interval 1.13% to 6.97%
Next year
2026Q4–2027Q3
4.24%
95% interval 1.12% to 6.97%
Next five years
2026Q4–2031Q3
4.26%
95% interval 1.00% to 7.07%
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
+3,611% since 1942Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1942Q1–2024Q4 | 2.73% | 9.22% | 0.30 | 2.70 |
| 2020Q1–2024Q4 | −0.30% | 11.35% | −0.03 | −0.06 |
| 2024Q1–2024Q4 | −7.33% | 5.85% | −1.25 | −1.25 |
| 1942Q1–2024Q4 | 4.99% | 6.43% | 0.78 | 7.07 |
| 2020Q1–2024Q4 | 5.12% | 7.77% | 0.66 | 1.47 |
| 2024Q1–2024Q4 | −1.40% | 6.28% | −0.22 | −0.22 |
| 1942Q1–2024Q4 | 5.09% | 12.09% | 0.42 | 3.83 |
| 2020Q1–2024Q4 | 0.02% | 16.57% | <0.01 | <0.01 |
| 2024Q1–2024Q4 | −7.38% | 14.00% | −0.53 | −0.53 |
| 1942Q1–2024Q4 | 6.76% | 8.46% | 0.80 | 7.28 |
| 2020Q1–2024Q4 | 4.69% | 11.90% | 0.39 | 0.88 |
| 2024Q1–2024Q4 | −4.48% | 13.80% | −0.33 | −0.33 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.28 | 0.08 – 0.48 | <0.01 |
| 2026Q4–2027Q3 | 0.29 | 0.08 – 0.50 | <0.01 |
| 2026Q4–2031Q3 | 0.29 | 0.08 – 0.51 | <0.01 |
| 2026Q4 | 0.70 | 0.48 – 0.91 | 0.00 |
| 2026Q4–2027Q3 | 0.69 | 0.46 – 0.92 | 0.00 |
| 2026Q4–2031Q3 | 0.66 | 0.36 – 0.92 | <0.01 |
| 2026Q4 | 0.35 | 0.09 – 0.58 | <0.01 |
| 2026Q4–2027Q3 | 0.35 | 0.09 – 0.58 | 0.01 |
| 2026Q4–2031Q3 | 0.33 | 0.06 – 0.57 | 0.01 |
| 2026Q4 | 0.68 | 0.41 – 0.93 | <0.01 |
| 2026Q4–2027Q3 | 0.67 | 0.38 – 0.93 | <0.01 |
| 2026Q4–2031Q3 | 0.63 | 0.28 – 0.92 | <0.01 |