MomSeason16YrPlus · Other · Heston and Sadka (2008)

Return seasonality years 16 to 20

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1942Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.62%

95% interval 0.13% to 1.11%

Next year

0.63%

95% interval 0.13% to 1.11%

Next five years

0.63%

95% interval 0.14% to 1.11%

Next quarter

1.12%

95% interval 0.76% to 1.46%

Next year

1.12%

95% interval 0.75% to 1.46%

Next five years

1.13%

95% interval 0.72% to 1.48%

Next quarter

0.95%

95% interval 0.14% to 1.70%

Next year

0.98%

95% interval 0.17% to 1.71%

Next five years

1.06%

95% interval 0.22% to 1.78%

Next quarter

1.40%

95% interval 0.80% to 1.95%

Next year

1.42%

95% interval 0.81% to 1.96%

Next five years

1.46%

95% interval 0.83% to 1.99%

Cumulative market-adjusted return

+579% since 1942Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1942Q1–2024Q4	2.73%	9.22%	0.30	2.70
2020Q1–2024Q4	−0.30%	11.35%	−0.03	−0.06
2024Q1–2024Q4	−7.33%	5.85%	−1.25	−1.25
1942Q1–2024Q4	4.99%	6.43%	0.78	7.07
2020Q1–2024Q4	5.12%	7.77%	0.66	1.47
2024Q1–2024Q4	−1.40%	6.28%	−0.22	−0.22
1942Q1–2024Q4	5.09%	12.09%	0.42	3.83
2020Q1–2024Q4	0.02%	16.57%	0.00	0.00
2024Q1–2024Q4	−7.38%	14.00%	−0.53	−0.53
1942Q1–2024Q4	6.76%	8.46%	0.80	7.28
2020Q1–2024Q4	4.69%	11.90%	0.39	0.88
2024Q1–2024Q4	−4.48%	13.80%	−0.33	−0.33

Horizon	Mean	95% interval	P(neg)
Next quarter	0.135	0.028 – 0.240	0.01
Next year	0.136	0.029 – 0.240	0.01
Next five years	0.137	0.030 – 0.241	0.01
Next quarter	0.349	0.237 – 0.454	0.00
Next year	0.349	0.233 – 0.455	0.00
Next five years	0.350	0.223 – 0.460	0.00
Next quarter	0.158	0.023 – 0.281	0.01
Next year	0.162	0.028 – 0.282	0.01
Next five years	0.175	0.036 – 0.295	0.01
Next quarter	0.331	0.190 – 0.462	0.00
Next year	0.335	0.193 – 0.463	0.00
Next five years	0.346	0.197 – 0.471	0.00