BidAskSpread · Liquidity · Amihud and Mendelson (1986)

Bid-ask spread

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−4.04%

95% interval −5.25% to −2.45%

Next year

−3.63%

95% interval −4.94% to −2.19%

Next five years

−2.47%

95% interval −4.11% to −0.86%

Next quarter

−3.02%

95% interval −4.57% to −1.03%

Next year

−2.57%

95% interval −4.20% to −0.74%

Next five years

−1.25%

95% interval −3.22% to 0.62%

Next quarter

−7.11%

95% interval −9.75% to −3.10%

Next year

−6.18%

95% interval −8.59% to −2.86%

Next five years

−3.47%

95% interval −5.59% to −1.53%

Next quarter

−3.44%

95% interval −5.63% to −0.56%

Next year

−2.83%

95% interval −5.09% to −0.23%

Next five years

−1.04%

95% interval −3.68% to 1.43%

Next quarter

−3.21%

95% interval −5.04% to −0.83%

Next year

−2.69%

95% interval −4.62% to −0.52%

Next five years

−1.18%

95% interval −3.46% to 0.97%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

−100% since 1926Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	−8.99%	22.94%	−0.39	−3.89
2020Q1–2024Q4	−24.85%	18.71%	−1.33	−2.97
2024Q1–2024Q4	−30.20%	15.40%	−1.96	−1.96
1926Q3–2024Q4	−2.42%	27.46%	−0.09	−0.88
2020Q1–2024Q4	−17.08%	27.67%	−0.62	−1.38
2024Q1–2024Q4	−24.04%	25.46%	−0.94	−0.94
1926Q3–2024Q4	−9.58%	27.49%	−0.35	−3.46
2020Q1–2024Q4	−46.91%	28.42%	−1.65	−3.69
2024Q1–2024Q4	−52.67%	16.06%	−3.28	−3.28
1926Q3–2024Q4	−0.05%	35.93%	−0.00	−0.01
2020Q1–2024Q4	−20.00%	36.74%	−0.54	−1.22
2024Q1–2024Q4	−31.60%	32.91%	−0.96	−0.96
1926Q3–2024Q4	−1.47%	31.64%	−0.05	−0.46
2020Q1–2024Q4	−18.71%	32.43%	−0.58	−1.29
2024Q1–2024Q4	−26.47%	30.38%	−0.87	−0.87

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.357	−0.468 – −0.214	1.00
Next year	−0.320	−0.436 – −0.191	1.00
Next five years	−0.215	−0.358 – −0.075	1.00
Next quarter	−0.223	−0.340 – −0.075	1.00
Next year	−0.189	−0.310 – −0.054	1.00
Next five years	−0.091	−0.234 – 0.045	0.90
Next quarter	−0.524	−0.727 – −0.225	1.00
Next year	−0.453	−0.634 – −0.208	1.00
Next five years	−0.253	−0.406 – −0.111	1.00
Next quarter	−0.194	−0.319 – −0.031	0.99
Next year	−0.159	−0.286 – −0.013	0.98
Next five years	−0.058	−0.205 – 0.080	0.79
Next quarter	−0.206	−0.325 – −0.052	0.99
Next year	−0.172	−0.295 – −0.033	0.99
Next five years	−0.075	−0.218 – 0.061	0.86