CBOperProf · Profitability · Ball et al. (2016)

Cash-based operating profitability

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1962Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.54%

95% interval 0.98% to 2.08%

Next year

1.53%

95% interval 0.95% to 2.08%

Next five years

1.48%

95% interval 0.83% to 2.09%

Next quarter

1.54%

95% interval 0.98% to 2.09%

Next year

1.52%

95% interval 0.96% to 2.09%

Next five years

1.48%

95% interval 0.84% to 2.10%

Next quarter

2.13%

95% interval 1.37% to 2.89%

Next year

2.12%

95% interval 1.32% to 2.90%

Next five years

2.09%

95% interval 1.15% to 2.94%

Next quarter

2.12%

95% interval 1.38% to 2.88%

Next year

2.11%

95% interval 1.33% to 2.89%

Next five years

2.08%

95% interval 1.15% to 2.93%

Cumulative market-adjusted return

+4,625% since 1962Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	6.66%	9.49%	0.70	5.55
2020Q1–2024Q4	8.44%	14.49%	0.58	1.30
2024Q1–2024Q4	8.62%	15.35%	0.56	0.56
1962Q3–2024Q4	6.66%	9.49%	0.70	5.55
2020Q1–2024Q4	8.44%	14.49%	0.58	1.30
2024Q1–2024Q4	8.62%	15.35%	0.56	0.56
1962Q3–2024Q4	9.56%	12.94%	0.74	5.84
2020Q1–2024Q4	9.37%	20.22%	0.46	1.04
2024Q1–2024Q4	13.60%	21.73%	0.63	0.63
1962Q3–2024Q4	9.56%	12.94%	0.74	5.84
2020Q1–2024Q4	9.37%	20.22%	0.46	1.04
2024Q1–2024Q4	13.60%	21.73%	0.63	0.63

Horizon	Mean	95% interval
Next quarter	0.326	0.206 – 0.440
Next year	0.322	0.201 – 0.440
Next five years	0.313	0.175 – 0.440
Next quarter	0.325	0.206 – 0.442
Next year	0.321	0.202 – 0.442
Next five years	0.312	0.175 – 0.442
Next quarter	0.329	0.212 – 0.446
Next year	0.327	0.203 – 0.447
Next five years	0.323	0.176 – 0.454
Next quarter	0.329	0.214 – 0.447
Next year	0.327	0.206 – 0.448
Next five years	0.322	0.177 – 0.453