MomSeasonShort · Other · Heston and Sadka (2008)

Return seasonality last year

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.88%

95% interval 0.92% to 2.74%

Next year

1.91%

95% interval 1.00% to 2.72%

Next five years

2.01%

95% interval 1.17% to 2.74%

Next quarter

2.14%

95% interval 1.47% to 2.89%

Next year

2.17%

95% interval 1.45% to 2.90%

Next five years

2.24%

95% interval 1.40% to 2.99%

Next quarter

1.68%

95% interval 0.14% to 3.25%

Next year

1.81%

95% interval 0.34% to 3.24%

Next five years

2.19%

95% interval 0.85% to 3.37%

Next quarter

2.74%

95% interval 1.93% to 3.54%

Next year

2.73%

95% interval 1.87% to 3.58%

Next five years

2.72%

95% interval 1.64% to 3.69%

Cumulative market-adjusted return

+222,788% since 1927Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1927Q1–2024Q4	8.93%	14.08%	0.63	6.28
2020Q1–2024Q4	2.30%	13.68%	0.17	0.38
2024Q1–2024Q4	0.80%	3.86%	0.21	0.21
1927Q1–2024Q4	10.33%	12.67%	0.81	8.07
2020Q1–2024Q4	2.21%	12.13%	0.18	0.41
2024Q1–2024Q4	10.27%	5.76%	1.78	1.78
1927Q1–2024Q4	10.67%	19.77%	0.54	5.34
2020Q1–2024Q4	−5.14%	19.62%	−0.26	−0.59
2024Q1–2024Q4	−2.78%	14.74%	−0.19	−0.19
1927Q1–2024Q4	12.38%	16.90%	0.73	7.25
2020Q1–2024Q4	6.35%	16.61%	0.38	0.85
2024Q1–2024Q4	16.18%	11.62%	1.39	1.39

Horizon	Mean	95% interval	P(neg)
Next quarter	0.267	0.131 – 0.389	0.00
Next year	0.271	0.141 – 0.388	0.00
Next five years	0.285	0.165 – 0.391	0.00
Next quarter	0.339	0.232 – 0.457	0.00
Next year	0.342	0.229 – 0.459	0.00
Next five years	0.353	0.220 – 0.471	0.00
Next quarter	0.170	0.014 – 0.329	0.01
Next year	0.183	0.034 – 0.328	0.01
Next five years	0.221	0.086 – 0.340	0.00
Next quarter	0.325	0.229 – 0.420	0.00
Next year	0.324	0.221 – 0.424	0.00
Next five years	0.322	0.194 – 0.437	0.00