Beta · Risk · Fama and MacBeth (1973)

CAPM beta

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1928Q2 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−1.28%

95% interval −2.22% to −0.34%

Next year

−1.28%

95% interval −2.28% to −0.25%

Next five years

−1.28%

95% interval −2.49% to 0.03%

Next quarter

−1.26%

95% interval −2.20% to −0.27%

Next year

−1.19%

95% interval −2.23% to −0.17%

Next five years

−1.01%

95% interval −2.29% to 0.27%

Next quarter

−1.14%

95% interval −2.75% to 0.86%

Next year

−1.25%

95% interval −2.75% to 0.61%

Next five years

−1.56%

95% interval −2.90% to 0.06%

Next quarter

−1.13%

95% interval −2.26% to 0.01%

Next year

−1.12%

95% interval −2.30% to 0.08%

Next five years

−1.09%

95% interval −2.44% to 0.30%

Cumulative market-adjusted return

−100% since 1928Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1928Q2–2024Q4	−6.06%	19.55%	−0.31	−3.05
2020Q1–2024Q4	−5.46%	23.98%	−0.23	−0.51
2024Q1–2024Q4	−9.23%	33.04%	−0.28	−0.28
1928Q2–2024Q4	−4.30%	20.14%	−0.21	−2.10
2020Q1–2024Q4	−0.05%	22.71%	−0.00	−0.01
2024Q1–2024Q4	−13.05%	16.36%	−0.80	−0.80
1928Q2–2024Q4	−7.75%	23.41%	−0.33	−3.26
2020Q1–2024Q4	5.84%	29.77%	0.20	0.44
2024Q1–2024Q4	12.53%	50.11%	0.25	0.25
1928Q2–2024Q4	−4.76%	24.20%	−0.20	−1.93
2020Q1–2024Q4	3.78%	31.16%	0.12	0.27
2024Q1–2024Q4	−6.22%	23.47%	−0.27	−0.27

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.131	−0.228 – −0.035	1.00
Next year	−0.131	−0.233 – −0.026	0.99
Next five years	−0.131	−0.255 – 0.003	0.97
Next quarter	−0.126	−0.221 – −0.027	0.99
Next year	−0.119	−0.222 – −0.017	0.99
Next five years	−0.101	−0.227 – 0.026	0.94
Next quarter	−0.097	−0.235 – 0.074	0.88
Next year	−0.107	−0.235 – 0.052	0.91
Next five years	−0.133	−0.247 – 0.005	0.97
Next quarter	−0.093	−0.188 – 0.001	0.97
Next year	−0.092	−0.191 – 0.006	0.97
Next five years	−0.090	−0.201 – 0.025	0.94