CF · Valuation · Lakonishok, Shleifer, Vishny (1994)

Cash flow to market

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

Expected return · posterior mean, % per quarter

Next quarter

1.07%

95% interval −0.31% to 2.15%

Next year

1.12%

95% interval −0.15% to 2.13%

Next five years

1.27%

95% interval 0.24% to 2.15%

Next quarter

1.65%

95% interval 0.95% to 2.36%

Next year

1.65%

95% interval 0.94% to 2.36%

Next five years

1.65%

95% interval 0.91% to 2.37%

Next quarter

1.55%

95% interval 0.04% to 2.77%

Next year

1.59%

95% interval 0.18% to 2.77%

Next five years

1.69%

95% interval 0.45% to 2.81%

Next quarter

1.67%

95% interval 0.70% to 2.67%

Next year

1.65%

95% interval 0.71% to 2.63%

Next five years

1.60%

95% interval 0.65% to 2.56%

Cumulative market-adjusted return

+3,919% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	6.09%	14.40%	0.42	3.62
2020Q1–2024Q4	−5.18%	23.20%	−0.22	−0.50
2024Q1–2024Q4	−8.95%	17.04%	−0.53	−0.53
1951Q3–2024Q4	7.24%	12.59%	0.58	4.93
2020Q1–2024Q4	4.14%	24.41%	0.17	0.38
2024Q1–2024Q4	−9.03%	21.58%	−0.42	−0.42
1951Q3–2024Q4	7.75%	19.18%	0.40	3.46
2020Q1–2024Q4	4.46%	23.70%	0.19	0.42
2024Q1–2024Q4	−23.71%	20.28%	−1.17	−1.17
1951Q3–2024Q4	6.93%	16.67%	0.42	3.56
2020Q1–2024Q4	6.77%	31.10%	0.22	0.49
2024Q1–2024Q4	8.26%	24.65%	0.34	0.34

Horizon	Mean	95% interval	P(neg)
Next quarter	0.148	−0.043 – 0.298	0.06
Next year	0.155	−0.020 – 0.296	0.04
Next five years	0.176	0.033 – 0.300	0.01
Next quarter	0.262	0.151 – 0.375	0.00
Next year	0.262	0.149 – 0.375	0.00
Next five years	0.262	0.145 – 0.376	0.00
Next quarter	0.162	0.004 – 0.290	0.02
Next year	0.166	0.019 – 0.289	0.02
Next five years	0.177	0.047 – 0.293	0.01
Next quarter	0.200	0.084 – 0.322	0.00
Next year	0.198	0.084 – 0.316	0.00
Next five years	0.192	0.078 – 0.308	0.00