MomSeason11YrPlus · Other · Heston and Sadka (2008)

Return seasonality years 11 to 15

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1937Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.20%

95% interval 0.48% to 1.79%

Next year

1.22%

95% interval 0.55% to 1.78%

Next five years

1.28%

95% interval 0.70% to 1.77%

Next quarter

1.00%

95% interval 0.10% to 1.63%

Next year

1.04%

95% interval 0.24% to 1.62%

Next five years

1.16%

95% interval 0.61% to 1.60%

Next quarter

1.35%

95% interval 0.25% to 2.29%

Next year

1.41%

95% interval 0.38% to 2.27%

Next five years

1.58%

95% interval 0.73% to 2.27%

Next quarter

1.51%

95% interval 0.75% to 2.08%

Next year

1.53%

95% interval 0.84% to 2.07%

Next five years

1.58%

95% interval 1.05% to 2.03%

Cumulative market-adjusted return

+10,226% since 1937Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1937Q1–2024Q4	5.71%	9.11%	0.63	5.88
2020Q1–2024Q4	−2.60%	11.65%	−0.22	−0.50
2024Q1–2024Q4	3.97%	5.57%	0.71	0.71
1937Q1–2024Q4	5.47%	6.77%	0.81	7.57
2020Q1–2024Q4	−0.11%	9.53%	−0.01	−0.03
2024Q1–2024Q4	−8.60%	4.48%	−1.92	−1.92
1937Q1–2024Q4	7.40%	11.94%	0.62	5.81
2020Q1–2024Q4	−8.18%	16.83%	−0.49	−1.09
2024Q1–2024Q4	5.48%	15.91%	0.34	0.34
1937Q1–2024Q4	6.98%	8.20%	0.85	7.99
2020Q1–2024Q4	2.46%	10.95%	0.22	0.50
2024Q1–2024Q4	−8.66%	6.32%	−1.37	−1.37

Horizon	Mean	95% interval	P(neg)
Next quarter	0.263	0.106 – 0.395	0.00
Next year	0.267	0.120 – 0.392	0.00
Next five years	0.280	0.153 – 0.390	0.00
Next quarter	0.294	0.029 – 0.481	0.01
Next year	0.307	0.073 – 0.477	0.00
Next five years	0.343	0.180 – 0.472	0.00
Next quarter	0.226	0.042 – 0.384	0.01
Next year	0.236	0.065 – 0.381	0.00
Next five years	0.265	0.122 – 0.380	0.00
Next quarter	0.369	0.183 – 0.505	0.00
Next year	0.373	0.206 – 0.503	0.00
Next five years	0.385	0.254 – 0.496	0.00