MomOffSeason16YrPlus · Other · Heston and Sadka (2008)

Off season reversal years 16 to 20

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1941Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.51%

95% interval 0.06% to 0.97%

Next year

0.52%

95% interval 0.05% to 0.98%

Next five years

0.52%

95% interval 0.02% to 1.01%

Next quarter

0.47%

95% interval 0.01% to 0.92%

Next year

0.48%

95% interval 0.02% to 0.92%

Next five years

0.53%

95% interval 0.05% to 0.96%

Next quarter

0.60%

95% interval −0.06% to 1.25%

Next year

0.61%

95% interval −0.06% to 1.26%

Next five years

0.64%

95% interval −0.04% to 1.30%

Next quarter

0.66%

95% interval 0.13% to 1.19%

Next year

0.67%

95% interval 0.12% to 1.20%

Next five years

0.71%

95% interval 0.11% to 1.25%

Cumulative market-adjusted return

+388% since 1941Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1941Q2–2024Q4	2.29%	8.84%	0.26	2.37
2020Q1–2024Q4	−0.12%	10.86%	−0.01	−0.02
2024Q1–2024Q4	1.99%	11.42%	0.17	0.17
1941Q2–2024Q4	2.47%	7.42%	0.33	3.05
2020Q1–2024Q4	−1.70%	11.32%	−0.15	−0.34
2024Q1–2024Q4	0.98%	5.85%	0.17	0.17
1941Q2–2024Q4	2.86%	11.89%	0.24	2.20
2020Q1–2024Q4	−2.65%	15.39%	−0.17	−0.39
2024Q1–2024Q4	−3.06%	12.87%	−0.24	−0.24
1941Q2–2024Q4	3.27%	9.38%	0.35	3.19
2020Q1–2024Q4	0.99%	13.48%	0.07	0.16
2024Q1–2024Q4	−1.16%	8.10%	−0.14	−0.14

Horizon	Mean	95% interval	P(neg)
Next quarter	0.116	0.014 – 0.220	0.01
Next year	0.117	0.012 – 0.221	0.02
Next five years	0.118	0.004 – 0.228	0.02
Next quarter	0.126	0.002 – 0.249	0.02
Next year	0.130	0.005 – 0.248	0.02
Next five years	0.142	0.014 – 0.259	0.02
Next quarter	0.100	−0.011 – 0.211	0.04
Next year	0.102	−0.009 – 0.211	0.04
Next five years	0.108	−0.007 – 0.218	0.03
Next quarter	0.140	0.027 – 0.254	0.01
Next year	0.143	0.026 – 0.256	0.01
Next five years	0.151	0.023 – 0.266	0.01