Mom12mOffSeason
Off-Season Momentum — Heston and Sadka 2008
Momentum
Quick facts
| Factor ID | Mom12mOffSeason |
| Display name | Off-Season Momentum |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Heston and Sadka 2008 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-02-24 – 2026-05-15 · 611,285 rows · 89.2% of panel |
Formula
Mom12m excluding same-month return
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 183 |
| Monthly mean | -0.1022% |
| Monthly std | 4.1841% |
| Annualized Sharpe | -0.08 |
| t-stat (simple) | -0.33 |
| Hit rate (months > 0) | 51.9% |
| Last 12M compounded | 17.60% |
| Cumulative wealth (start = 1) | 0.706 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +0.66% | 0.604 | 5043 |
| 2025-06 | -1.67% | 0.594 | 5052 |
| 2025-07 | +5.68% | 0.628 | 5051 |
| 2025-08 | -2.39% | 0.613 | 5055 |
| 2025-09 | -3.67% | 0.590 | 5062 |
| 2025-10 | -3.75% | 0.568 | 5067 |
| 2025-11 | +7.10% | 0.608 | 5074 |
| 2025-12 | +1.80% | 0.619 | 5080 |
| 2026-01 | +3.26% | 0.639 | 5085 |
| 2026-02 | -3.59% | 0.617 | 5090 |
| 2026-03 | +10.42% | 0.681 | 5099 |
| 2026-04 | +3.67% | 0.706 | 5086 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.