MomSeasonShort
Seasonal Return (1Y) — Heston and Sadka 2008
Momentum
Quick facts
| Factor ID | MomSeasonShort |
| Display name | Seasonal Return (1Y) |
| Family | Predictor |
| Category | Momentum |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Heston and Sadka 2008 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2011-01-28 – 2026-05-15 · 617,225 rows · 90.1% of panel |
Formula
return in same month one year ago
China adaptation
No adaptation note.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.0934% |
| Monthly std | 2.0445% |
| Annualized Sharpe | 0.16 |
| t-stat (simple) | 0.62 |
| Hit rate (months > 0) | 49.5% |
| Last 12M compounded | -10.82% |
| Cumulative wealth (start = 1) | 1.144 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +2.57% | 1.315 | 5046 |
| 2025-06 | -2.84% | 1.278 | 5055 |
| 2025-07 | -5.20% | 1.212 | 5057 |
| 2025-08 | -1.62% | 1.192 | 5061 |
| 2025-09 | +0.04% | 1.192 | 5069 |
| 2025-10 | -4.67% | 1.137 | 5075 |
| 2025-11 | -2.89% | 1.104 | 5081 |
| 2025-12 | +1.52% | 1.121 | 5088 |
| 2026-01 | +0.66% | 1.128 | 5095 |
| 2026-02 | +2.54% | 1.157 | 5099 |
| 2026-03 | +1.29% | 1.171 | 5104 |
| 2026-04 | -2.38% | 1.144 | 5099 |
Known data issues
None recorded.
Notes
None recorded.
See also: Momentum family, Factor library, Factor returns.