MomSeasonShort · Other · Heston and Sadka (2008)
Return seasonality last year
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
5.42%
95% interval −1.32% to 12.30%
Next year
2026Q4–2027Q3
5.56%
95% interval −1.21% to 12.32%
Next five years
2026Q4–2031Q3
6.14%
95% interval −0.72% to 12.51%
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
+434,571% since 1927Q1 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1927Q1–2024Q4 | 8.93% | 14.08% | 0.63 | 6.28 |
| 2020Q1–2024Q4 | 2.30% | 13.68% | 0.17 | 0.38 |
| 2024Q1–2024Q4 | 0.80% | 3.86% | 0.21 | 0.21 |
| 1927Q1–2024Q4 | 10.33% | 12.67% | 0.81 | 8.07 |
| 2020Q1–2024Q4 | 2.21% | 12.13% | 0.18 | 0.41 |
| 2024Q1–2024Q4 | 10.27% | 5.76% | 1.78 | 1.78 |
| 1927Q1–2024Q4 | 10.67% | 19.77% | 0.54 | 5.34 |
| 2020Q1–2024Q4 | −5.14% | 19.62% | −0.26 | −0.59 |
| 2024Q1–2024Q4 | −2.78% | 14.74% | −0.19 | −0.19 |
| 1927Q1–2024Q4 | 12.38% | 16.90% | 0.73 | 7.25 |
| 2020Q1–2024Q4 | 6.35% | 16.61% | 0.38 | 0.85 |
| 2024Q1–2024Q4 | 16.18% | 11.62% | 1.39 | 1.39 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.51 | 0.20 – 0.76 | <0.01 |
| 2026Q4–2027Q3 | 0.51 | 0.20 – 0.76 | <0.01 |
| 2026Q4–2031Q3 | 0.50 | 0.17 – 0.76 | <0.01 |
| 2026Q4 | 0.58 | 0.29 – 0.89 | <0.01 |
| 2026Q4–2027Q3 | 0.56 | 0.27 – 0.88 | <0.01 |
| 2026Q4–2031Q3 | 0.52 | 0.20 – 0.88 | <0.01 |
| 2026Q4 | 0.27 | −0.07 – 0.62 | 0.07 |
| 2026Q4–2027Q3 | 0.28 | −0.06 – 0.62 | 0.06 |
| 2026Q4–2031Q3 | 0.28 | −0.03 – 0.62 | 0.04 |
| 2026Q4 | 0.55 | 0.30 – 0.81 | <0.01 |
| 2026Q4–2027Q3 | 0.53 | 0.28 – 0.80 | <0.01 |
| 2026Q4–2031Q3 | 0.47 | 0.20 – 0.78 | <0.01 |