MomSeason06YrPlus · Other · Heston and Sadka (2008)

Return seasonality years 6 to 10

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1932Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.01%

95% interval 0.51% to 1.57%

Next year

1.04%

95% interval 0.46% to 1.65%

Next five years

1.14%

95% interval 0.32% to 1.90%

Next quarter

1.35%

95% interval 0.37% to 2.07%

Next year

1.39%

95% interval 0.51% to 2.05%

Next five years

1.49%

95% interval 0.85% to 2.02%

Next quarter

0.94%

95% interval 0.28% to 1.64%

Next year

1.01%

95% interval 0.25% to 1.79%

Next five years

1.23%

95% interval 0.16% to 2.26%

Next quarter

1.02%

95% interval −0.55% to 2.40%

Next year

1.16%

95% interval −0.23% to 2.38%

Next five years

1.58%

95% interval 0.59% to 2.40%

Cumulative market-adjusted return

+18,547% since 1932Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1932Q1–2024Q4	6.22%	10.66%	0.58	5.63
2020Q1–2024Q4	3.00%	11.41%	0.26	0.59
2024Q1–2024Q4	5.48%	4.81%	1.14	1.14
1932Q1–2024Q4	6.78%	9.21%	0.74	7.10
2020Q1–2024Q4	−1.65%	9.80%	−0.17	−0.38
2024Q1–2024Q4	−11.31%	10.80%	−1.05	−1.05
1932Q1–2024Q4	7.05%	13.86%	0.51	4.90
2020Q1–2024Q4	4.39%	14.92%	0.29	0.66
2024Q1–2024Q4	−4.96%	8.63%	−0.57	−0.57
1932Q1–2024Q4	8.24%	11.79%	0.70	6.73
2020Q1–2024Q4	−3.94%	15.94%	−0.25	−0.55
2024Q1–2024Q4	−25.90%	19.60%	−1.32	−1.32

Horizon	Mean	95% interval	P(neg)
Next quarter	0.192	0.098 – 0.297	0.00
Next year	0.197	0.087 – 0.310	0.00
Next five years	0.213	0.059 – 0.357	0.00
Next quarter	0.293	0.080 – 0.452	0.00
Next year	0.301	0.110 – 0.448	0.00
Next five years	0.324	0.183 – 0.440	0.00
Next quarter	0.137	0.041 – 0.239	0.00
Next year	0.148	0.037 – 0.260	0.00
Next five years	0.178	0.023 – 0.326	0.01
Next quarter	0.173	−0.094 – 0.408	0.12
Next year	0.197	−0.039 – 0.404	0.05
Next five years	0.269	0.099 – 0.406	0.00