Mom12mOffSeason · Other · Heston and Sadka (2008)

Momentum without the seasonal part

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

2.54%

95% interval 1.52% to 3.56%

Next year

2.54%

95% interval 1.53% to 3.55%

Next five years

2.53%

95% interval 1.52% to 3.54%

Next quarter

2.77%

95% interval 1.79% to 3.78%

Next year

2.76%

95% interval 1.79% to 3.77%

Next five years

2.74%

95% interval 1.75% to 3.74%

Next quarter

4.05%

95% interval 2.65% to 5.55%

Next year

4.03%

95% interval 2.66% to 5.46%

Next five years

3.96%

95% interval 2.64% to 5.29%

Next quarter

3.51%

95% interval 2.25% to 4.80%

Next year

3.50%

95% interval 2.25% to 4.79%

Next five years

3.45%

95% interval 2.15% to 4.76%

Cumulative market-adjusted return

+386,639% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	10.74%	20.71%	0.52	5.15
2020Q1–2024Q4	15.60%	23.53%	0.66	1.48
2024Q1–2024Q4	32.00%	11.50%	2.78	2.78
1926Q3–2024Q4	11.66%	19.88%	0.59	5.82
2020Q1–2024Q4	19.27%	21.88%	0.88	1.97
2024Q1–2024Q4	16.36%	20.68%	0.79	0.79
1926Q3–2024Q4	16.82%	26.46%	0.64	6.31
2020Q1–2024Q4	31.83%	35.29%	0.90	2.02
2024Q1–2024Q4	42.68%	22.56%	1.89	1.89
1926Q3–2024Q4	14.71%	25.69%	0.57	5.68
2020Q1–2024Q4	24.36%	32.74%	0.74	1.66
2024Q1–2024Q4	8.83%	30.75%	0.29	0.29

Horizon	Mean	95% interval
Next quarter	0.246	0.147 – 0.345
Next year	0.246	0.147 – 0.344
Next five years	0.245	0.147 – 0.342
Next quarter	0.279	0.179 – 0.381
Next year	0.278	0.180 – 0.379
Next five years	0.275	0.176 – 0.376
Next quarter	0.306	0.199 – 0.421
Next year	0.304	0.200 – 0.412
Next five years	0.299	0.199 – 0.401
Next quarter	0.274	0.175 – 0.374
Next year	0.272	0.175 – 0.373
Next five years	0.269	0.167 – 0.370