BMdec · Valuation · Fama and French (1992)

Book to market using December ME

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

Expected return · posterior mean, % per quarter

Next quarter

0.15%

95% interval −0.99% to 1.43%

Next year

0.28%

95% interval −0.84% to 1.43%

Next five years

0.64%

95% interval −0.47% to 1.60%

Next quarter

2.39%

95% interval 1.72% to 3.07%

Next year

2.36%

95% interval 1.64% to 3.08%

Next five years

2.28%

95% interval 1.32% to 3.11%

Next quarter

0.23%

95% interval −0.90% to 1.47%

Next year

0.34%

95% interval −0.81% to 1.50%

Next five years

0.64%

95% interval −0.59% to 1.76%

Next quarter

2.76%

95% interval 1.99% to 3.53%

Next year

2.71%

95% interval 1.90% to 3.54%

Next five years

2.57%

95% interval 1.47% to 3.56%

Cumulative market-adjusted return

+839% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	4.03%	13.79%	0.29	2.49
2020Q1–2024Q4	−4.59%	20.57%	−0.22	−0.50
2024Q1–2024Q4	−10.40%	13.12%	−0.79	−0.79
1952Q3–2024Q4	10.52%	12.74%	0.83	7.03
2020Q1–2024Q4	14.77%	16.53%	0.89	2.00
2024Q1–2024Q4	9.95%	9.69%	1.03	1.03
1952Q3–2024Q4	3.93%	16.05%	0.25	2.09
2020Q1–2024Q4	−2.61%	25.28%	−0.10	−0.23
2024Q1–2024Q4	−10.55%	17.26%	−0.61	−0.61
1952Q3–2024Q4	11.93%	14.48%	0.82	7.02
2020Q1–2024Q4	14.19%	17.28%	0.82	1.84
2024Q1–2024Q4	14.30%	14.99%	0.95	0.95

Horizon	Mean	95% interval	P(neg)
Next quarter	0.022	−0.146 – 0.207	0.43
Next year	0.040	−0.123 – 0.207	0.33
Next five years	0.093	−0.068 – 0.233	0.12
Next quarter	0.376	0.270 – 0.485	0.00
Next year	0.371	0.257 – 0.486	0.00
Next five years	0.357	0.207 – 0.491	0.00
Next quarter	0.028	−0.114 – 0.183	0.37
Next year	0.042	−0.102 – 0.187	0.29
Next five years	0.080	−0.074 – 0.219	0.14
Next quarter	0.383	0.275 – 0.490	0.00
Next year	0.376	0.262 – 0.490	0.00
Next five years	0.355	0.202 – 0.491	0.00