AM · Valuation · Fama and French (1992)

Total assets to market

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.45%

95% interval −0.41% to 1.31%

Next year

0.45%

95% interval −0.44% to 1.33%

Next five years

0.46%

95% interval −0.53% to 1.42%

Next quarter

2.03%

95% interval 1.13% to 2.90%

Next year

1.99%

95% interval 1.06% to 2.91%

Next five years

1.88%

95% interval 0.73% to 2.93%

Next quarter

0.29%

95% interval −0.87% to 1.49%

Next year

0.32%

95% interval −0.88% to 1.50%

Next five years

0.40%

95% interval −0.90% to 1.64%

Next quarter

2.63%

95% interval 1.54% to 3.68%

Next year

2.54%

95% interval 1.42% to 3.67%

Next five years

2.28%

95% interval 0.81% to 3.64%

Cumulative market-adjusted return

+80% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	2.08%	16.02%	0.13	1.11
2020Q1–2024Q4	−1.76%	26.06%	−0.07	−0.15
2024Q1–2024Q4	1.20%	10.77%	0.11	0.11
1951Q3–2024Q4	8.44%	16.50%	0.51	4.38
2020Q1–2024Q4	15.73%	25.50%	0.62	1.38
2024Q1–2024Q4	4.70%	8.93%	0.53	0.53
1951Q3–2024Q4	2.05%	20.33%	0.10	0.86
2020Q1–2024Q4	−6.13%	28.85%	−0.21	−0.47
2024Q1–2024Q4	−6.83%	11.39%	−0.60	−0.60
1951Q3–2024Q4	10.34%	19.79%	0.52	4.48
2020Q1–2024Q4	21.81%	31.39%	0.69	1.55
2024Q1–2024Q4	9.11%	16.75%	0.54	0.54

Horizon	Mean	95% interval	P(neg)
Next quarter	0.056	−0.052 – 0.163	0.16
Next year	0.056	−0.055 – 0.166	0.16
Next five years	0.057	−0.065 – 0.177	0.17
Next quarter	0.247	0.137 – 0.353	0.00
Next year	0.242	0.129 – 0.354	0.00
Next five years	0.227	0.088 – 0.355	0.00
Next quarter	0.029	−0.086 – 0.147	0.32
Next year	0.031	−0.087 – 0.148	0.30
Next five years	0.040	−0.088 – 0.162	0.26
Next quarter	0.268	0.155 – 0.374	0.00
Next year	0.258	0.143 – 0.372	0.00
Next five years	0.230	0.082 – 0.368	0.00