MomOffSeason11YrPlus · Other · Heston and Sadka (2008)

Off season reversal years 11 to 15

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1936Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.45%

95% interval −0.35% to 1.09%

Next year

0.47%

95% interval −0.26% to 1.07%

Next five years

0.53%

95% interval −0.04% to 1.05%

Next quarter

0.37%

95% interval −0.17% to 0.84%

Next year

0.39%

95% interval −0.12% to 0.84%

Next five years

0.45%

95% interval 0.00% to 0.85%

Next quarter

0.05%

95% interval −0.99% to 0.91%

Next year

0.10%

95% interval −0.85% to 0.90%

Next five years

0.23%

95% interval −0.53% to 0.92%

Next quarter

0.38%

95% interval −0.19% to 0.91%

Next year

0.40%

95% interval −0.16% to 0.91%

Next five years

0.43%

95% interval −0.09% to 0.92%

Cumulative market-adjusted return

+469% since 1936Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1936Q2–2024Q4	2.43%	9.67%	0.25	2.37
2020Q1–2024Q4	−7.81%	12.75%	−0.61	−1.37
2024Q1–2024Q4	2.82%	13.15%	0.21	0.21
1936Q2–2024Q4	2.10%	7.32%	0.29	2.70
2020Q1–2024Q4	−3.03%	8.14%	−0.37	−0.83
2024Q1–2024Q4	−0.68%	4.29%	−0.16	−0.16
1936Q2–2024Q4	1.31%	12.46%	0.11	0.99
2020Q1–2024Q4	−11.09%	14.09%	−0.79	−1.76
2024Q1–2024Q4	−2.49%	18.60%	−0.13	−0.13
1936Q2–2024Q4	1.95%	9.20%	0.21	2.00
2020Q1–2024Q4	−2.41%	10.96%	−0.22	−0.49
2024Q1–2024Q4	0.82%	6.33%	0.13	0.13

Horizon	Mean	95% interval	P(neg)
Next quarter	0.092	−0.073 – 0.226	0.12
Next year	0.097	−0.053 – 0.222	0.09
Next five years	0.109	−0.009 – 0.217	0.03
Next quarter	0.101	−0.048 – 0.230	0.09
Next year	0.107	−0.033 – 0.229	0.06
Next five years	0.122	0.001 – 0.232	0.02
Next quarter	0.008	−0.159 – 0.147	0.43
Next year	0.016	−0.136 – 0.145	0.39
Next five years	0.037	−0.085 – 0.148	0.25
Next quarter	0.083	−0.041 – 0.199	0.09
Next year	0.086	−0.034 – 0.197	0.07
Next five years	0.094	−0.019 – 0.199	0.05