MomSeason · Other · Heston and Sadka (2008)

Return seasonality years 2 to 5

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.58%

95% interval 0.03% to 1.16%

Next year

0.67%

95% interval 0.02% to 1.34%

Next five years

0.94%

95% interval −0.01% to 1.86%

Next quarter

0.72%

95% interval −0.32% to 1.97%

Next year

0.88%

95% interval −0.10% to 1.98%

Next five years

1.35%

95% interval 0.48% to 2.11%

Next quarter

0.10%

95% interval −0.75% to 1.14%

Next year

0.35%

95% interval −0.58% to 1.35%

Next five years

1.05%

95% interval −0.12% to 2.15%

Next quarter

0.30%

95% interval −1.27% to 2.27%

Next year

0.60%

95% interval −0.83% to 2.29%

Next five years

1.47%

95% interval 0.33% to 2.49%

Cumulative market-adjusted return

+10,632% since 1928Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1928Q1–2024Q4	5.66%	12.62%	0.45	4.42
2020Q1–2024Q4	−1.69%	20.66%	−0.08	−0.18
2024Q1–2024Q4	4.80%	4.64%	1.03	1.03
1928Q1–2024Q4	7.58%	10.68%	0.71	6.99
2020Q1–2024Q4	−1.95%	19.58%	−0.10	−0.22
2024Q1–2024Q4	−15.21%	8.93%	−1.70	−1.70
1928Q1–2024Q4	7.17%	15.54%	0.46	4.54
2020Q1–2024Q4	−6.72%	29.29%	−0.23	−0.51
2024Q1–2024Q4	−5.24%	12.89%	−0.41	−0.41
1928Q1–2024Q4	9.39%	12.90%	0.73	7.17
2020Q1–2024Q4	−2.94%	24.49%	−0.12	−0.27
2024Q1–2024Q4	−29.85%	14.63%	−2.04	−2.04

Horizon	Mean	95% interval	P(neg)
Next quarter	0.093	0.005 – 0.186	0.02
Next year	0.107	0.003 – 0.213	0.02
Next five years	0.149	−0.001 – 0.295	0.03
Next quarter	0.136	−0.060 – 0.367	0.11
Next year	0.166	−0.019 – 0.370	0.04
Next five years	0.252	0.089 – 0.395	0.00
Next quarter	0.013	−0.098 – 0.147	0.44
Next year	0.045	−0.076 – 0.175	0.24
Next five years	0.135	−0.016 – 0.277	0.04
Next quarter	0.047	−0.200 – 0.352	0.41
Next year	0.093	−0.130 – 0.355	0.24
Next five years	0.227	0.051 – 0.386	0.01