BetaFP · Other · Frazzini and Pedersen (2014)

Frazzini-Pedersen Beta

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

Expected return · posterior mean, % per quarter

Next quarter

−0.98%

95% interval −2.39% to 0.66%

Next year

−1.09%

95% interval −2.38% to 0.41%

Next five years

−1.43%

95% interval −2.48% to −0.16%

Next quarter

−2.40%

95% interval −3.32% to −1.40%

Next year

−2.25%

95% interval −3.25% to −1.25%

Next five years

−1.83%

95% interval −3.09% to −0.55%

Next quarter

−0.54%

95% interval −2.88% to 2.41%

Next year

−0.77%

95% interval −2.85% to 1.81%

Next five years

−1.46%

95% interval −2.87% to 0.32%

Next quarter

−2.76%

95% interval −3.97% to −1.48%

Next year

−2.63%

95% interval −3.91% to −1.36%

Next five years

−2.24%

95% interval −3.77% to −0.70%

Cumulative market-adjusted return

−100% since 1928Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1928Q2–2024Q4	−7.29%	17.58%	−0.41	−4.08
2020Q1–2024Q4	3.48%	20.03%	0.17	0.39
2024Q1–2024Q4	10.13%	19.22%	0.53	0.53
1928Q2–2024Q4	−7.86%	19.02%	−0.41	−4.07
2020Q1–2024Q4	−12.44%	14.08%	−0.88	−1.98
2024Q1–2024Q4	−22.35%	14.89%	−1.50	−1.50
1928Q2–2024Q4	−8.37%	21.88%	−0.38	−3.76
2020Q1–2024Q4	11.65%	26.96%	0.43	0.97
2024Q1–2024Q4	38.73%	25.60%	1.51	1.51
1928Q2–2024Q4	−9.52%	24.21%	−0.39	−3.87
2020Q1–2024Q4	−12.06%	19.18%	−0.63	−1.41
2024Q1–2024Q4	−28.28%	16.21%	−1.74	−1.74

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.111	−0.272 – 0.075	0.87
Next year	−0.125	−0.271 – 0.047	0.92
Next five years	−0.163	−0.282 – −0.019	0.99
Next quarter	−0.255	−0.354 – −0.147	1.00
Next year	−0.238	−0.345 – −0.131	1.00
Next five years	−0.192	−0.324 – −0.058	1.00
Next quarter	−0.049	−0.263 – 0.223	0.65
Next year	−0.071	−0.260 – 0.167	0.72
Next five years	−0.134	−0.262 – 0.029	0.95
Next quarter	−0.230	−0.332 – −0.122	1.00
Next year	−0.218	−0.325 – −0.112	1.00
Next five years	−0.185	−0.311 – −0.057	1.00