MomOffSeason06YrPlus · Other · Heston and Sadka (2008)

Off season reversal years 6 to 10

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1931Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.37%

95% interval 0.78% to 1.94%

Next year

1.37%

95% interval 0.75% to 1.95%

Next five years

1.36%

95% interval 0.63% to 2.02%

Next quarter

1.37%

95% interval 0.85% to 1.88%

Next year

1.38%

95% interval 0.84% to 1.88%

Next five years

1.40%

95% interval 0.82% to 1.92%

Next quarter

1.37%

95% interval 0.34% to 2.22%

Next year

1.39%

95% interval 0.42% to 2.22%

Next five years

1.46%

95% interval 0.55% to 2.27%

Next quarter

1.15%

95% interval −0.15% to 2.05%

Next year

1.20%

95% interval 0.04% to 2.05%

Next five years

1.36%

95% interval 0.49% to 2.06%

Cumulative market-adjusted return

+15,437% since 1931Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1931Q2–2024Q4	6.07%	11.51%	0.53	5.10
2020Q1–2024Q4	9.99%	12.44%	0.80	1.79
2024Q1–2024Q4	−2.87%	11.52%	−0.25	−0.25
1931Q2–2024Q4	6.19%	9.61%	0.64	6.24
2020Q1–2024Q4	7.92%	13.78%	0.57	1.28
2024Q1–2024Q4	5.08%	15.85%	0.32	0.32
1931Q2–2024Q4	6.63%	14.98%	0.44	4.29
2020Q1–2024Q4	7.75%	19.99%	0.39	0.87
2024Q1–2024Q4	−9.20%	20.09%	−0.46	−0.46
1931Q2–2024Q4	6.36%	12.50%	0.51	4.93
2020Q1–2024Q4	2.51%	17.41%	0.14	0.32
2024Q1–2024Q4	−12.48%	14.21%	−0.88	−0.88

Horizon	Mean	95% interval	P(neg)
Next quarter	0.239	0.137 – 0.336	0.00
Next year	0.238	0.130 – 0.339	0.00
Next five years	0.236	0.109 – 0.351	0.00
Next quarter	0.286	0.177 – 0.392	0.00
Next year	0.287	0.175 – 0.393	0.00
Next five years	0.291	0.171 – 0.398	0.00
Next quarter	0.183	0.046 – 0.297	0.01
Next year	0.186	0.055 – 0.298	0.00
Next five years	0.195	0.074 – 0.303	0.00
Next quarter	0.183	−0.024 – 0.329	0.04
Next year	0.192	0.007 – 0.327	0.02
Next five years	0.217	0.079 – 0.330	0.00