BookLeverage · Leverage · Fama and French (1992)

Book leverage (annual)

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.48%

95% interval −1.52% to 0.41%

Next year

−0.45%

95% interval −1.42% to 0.40%

Next five years

−0.34%

95% interval −1.21% to 0.46%

Next quarter

−0.73%

95% interval −2.06% to 0.53%

Next year

−0.61%

95% interval −1.83% to 0.52%

Next five years

−0.27%

95% interval −1.28% to 0.61%

Next quarter

−0.87%

95% interval −1.79% to 0.06%

Next year

−0.81%

95% interval −1.76% to 0.10%

Next five years

−0.64%

95% interval −1.69% to 0.38%

Next quarter

−1.74%

95% interval −3.18% to −0.02%

Next year

−1.51%

95% interval −2.87% to −0.01%

Next five years

−0.85%

95% interval −2.10% to 0.27%

Cumulative market-adjusted return

−80% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	−1.26%	13.60%	−0.09	−0.79
2020Q1–2024Q4	−7.79%	13.01%	−0.60	−1.34
2024Q1–2024Q4	−11.57%	8.25%	−1.40	−1.40
1951Q3–2024Q4	−0.27%	13.12%	−0.02	−0.18
2020Q1–2024Q4	−9.56%	19.32%	−0.49	−1.11
2024Q1–2024Q4	−8.28%	14.58%	−0.57	−0.57
1951Q3–2024Q4	−2.49%	15.22%	−0.16	−1.40
2020Q1–2024Q4	−4.15%	13.55%	−0.31	−0.68
2024Q1–2024Q4	−10.53%	3.77%	−2.79	−2.79
1951Q3–2024Q4	−2.25%	15.67%	−0.14	−1.23
2020Q1–2024Q4	−10.99%	21.17%	−0.52	−1.16
2024Q1–2024Q4	−15.40%	17.73%	−0.87	−0.87

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.071	−0.226 – 0.060	0.84
Next year	−0.066	−0.210 – 0.060	0.83
Next five years	−0.050	−0.178 – 0.068	0.79
Next quarter	−0.112	−0.319 – 0.082	0.83
Next year	−0.094	−0.282 – 0.080	0.82
Next five years	−0.040	−0.196 – 0.093	0.70
Next quarter	−0.116	−0.238 – 0.008	0.97
Next year	−0.107	−0.232 – 0.013	0.96
Next five years	−0.084	−0.223 – 0.050	0.89
Next quarter	−0.224	−0.415 – −0.002	0.98
Next year	−0.194	−0.371 – −0.002	0.98
Next five years	−0.108	−0.269 – 0.035	0.93