MomOffSeason · Other · Heston and Sadka (2008)

Off season long-term reversal

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.99%

95% interval 0.12% to 1.85%

Next year

1.00%

95% interval 0.11% to 1.87%

Next five years

1.00%

95% interval 0.04% to 1.92%

Next quarter

1.45%

95% interval 0.48% to 2.42%

Next year

1.47%

95% interval 0.46% to 2.46%

Next five years

1.56%

95% interval 0.40% to 2.63%

Next quarter

1.72%

95% interval 0.65% to 2.77%

Next year

1.70%

95% interval 0.61% to 2.79%

Next five years

1.63%

95% interval 0.41% to 2.83%

Next quarter

1.97%

95% interval 0.78% to 3.20%

Next year

2.00%

95% interval 0.75% to 3.24%

Next five years

2.11%

95% interval 0.66% to 3.45%

Cumulative market-adjusted return

+1,507% since 1927Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q2–2024Q4	4.32%	18.04%	0.24	2.37
2020Q1–2024Q4	7.60%	21.84%	0.35	0.78
2024Q1–2024Q4	−3.85%	16.03%	−0.24	−0.24
1927Q2–2024Q4	7.16%	19.00%	0.38	3.73
2020Q1–2024Q4	12.30%	22.56%	0.55	1.22
2024Q1–2024Q4	−2.20%	14.87%	−0.15	−0.15
1927Q2–2024Q4	7.03%	22.15%	0.32	3.14
2020Q1–2024Q4	15.55%	26.02%	0.60	1.34
2024Q1–2024Q4	−0.55%	19.16%	−0.03	−0.03
1927Q2–2024Q4	9.70%	23.66%	0.41	4.05
2020Q1–2024Q4	14.59%	26.81%	0.54	1.22
2024Q1–2024Q4	2.80%	16.61%	0.17	0.17

Horizon	Mean	95% interval	P(neg)
Next quarter	0.110	0.014 – 0.206	0.01
Next year	0.110	0.012 – 0.207	0.01
Next five years	0.110	0.005 – 0.212	0.02
Next quarter	0.152	0.051 – 0.255	0.00
Next year	0.155	0.048 – 0.259	0.00
Next five years	0.164	0.042 – 0.276	0.01
Next quarter	0.155	0.058 – 0.251	0.00
Next year	0.153	0.054 – 0.252	0.00
Next five years	0.147	0.037 – 0.256	0.01
Next quarter	0.167	0.066 – 0.270	0.00
Next year	0.170	0.063 – 0.274	0.00
Next five years	0.178	0.056 – 0.291	0.00