Accruals · Accruals · Sloan (1996)

Accruals

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.07%

95% interval 0.51% to 1.61%

Next year

1.07%

95% interval 0.52% to 1.61%

Next five years

1.08%

95% interval 0.52% to 1.62%

Next quarter

0.33%

95% interval −0.18% to 0.96%

Next year

0.40%

95% interval −0.11% to 0.98%

Next five years

0.61%

95% interval 0.06% to 1.09%

Next quarter

1.12%

95% interval −0.10% to 2.04%

Next year

1.16%

95% interval 0.05% to 2.02%

Next five years

1.26%

95% interval 0.40% to 2.01%

Next quarter

−0.03%

95% interval −0.63% to 0.81%

Next year

0.14%

95% interval −0.46% to 0.91%

Next five years

0.65%

95% interval −0.03% to 1.30%

Cumulative market-adjusted return

+2,103% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	4.74%	9.56%	0.50	4.23
2020Q1–2024Q4	3.82%	10.70%	0.36	0.80
2024Q1–2024Q4	−0.66%	5.63%	−0.12	−0.12
1952Q3–2024Q4	3.79%	5.89%	0.64	5.48
2020Q1–2024Q4	2.86%	4.79%	0.60	1.33
2024Q1–2024Q4	−2.25%	3.65%	−0.62	−0.62
1952Q3–2024Q4	5.89%	12.42%	0.47	4.04
2020Q1–2024Q4	−1.26%	15.54%	−0.08	−0.18
2024Q1–2024Q4	−11.69%	3.45%	−3.39	−3.39
1952Q3–2024Q4	5.20%	7.26%	0.72	6.10
2020Q1–2024Q4	0.95%	6.59%	0.14	0.32
2024Q1–2024Q4	−5.41%	5.04%	−1.07	−1.07

Horizon	Mean	95% interval	P(neg)
Next quarter	0.224	0.107 – 0.339	0.00
Next year	0.224	0.108 – 0.339	0.00
Next five years	0.226	0.108 – 0.339	0.00
Next quarter	0.111	−0.062 – 0.326	0.13
Next year	0.136	−0.037 – 0.331	0.07
Next five years	0.207	0.021 – 0.371	0.01
Next quarter	0.181	−0.016 – 0.329	0.03
Next year	0.187	0.009 – 0.326	0.02
Next five years	0.203	0.064 – 0.324	0.00
Next quarter	−0.010	−0.179 – 0.224	0.59
Next year	0.039	−0.129 – 0.250	0.37
Next five years	0.179	−0.007 – 0.357	0.03