Cash · Asset composition · Palazzo (2012)

Cash to assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.48%

95% interval −0.45% to 1.43%

Next year

0.48%

95% interval −0.47% to 1.44%

Next five years

0.50%

95% interval −0.55% to 1.53%

Next quarter

−0.27%

95% interval −1.64% to 1.39%

Next year

−0.11%

95% interval −1.51% to 1.39%

Next five years

0.32%

95% interval −1.15% to 1.63%

Next quarter

0.17%

95% interval −1.00% to 1.31%

Next year

0.17%

95% interval −1.02% to 1.34%

Next five years

0.16%

95% interval −1.13% to 1.44%

Next quarter

−0.56%

95% interval −2.21% to 1.49%

Next year

−0.35%

95% interval −2.01% to 1.49%

Next five years

0.26%

95% interval −1.48% to 1.80%

Cumulative market-adjusted return

+95% since 1971Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1971Q4–2024Q4	2.36%	14.91%	0.16	1.16
2020Q1–2024Q4	−1.68%	23.77%	−0.07	−0.16
2024Q1–2024Q4	8.71%	17.09%	0.51	0.51
1971Q4–2024Q4	2.81%	16.67%	0.17	1.23
2020Q1–2024Q4	−10.72%	25.06%	−0.43	−0.96
2024Q1–2024Q4	−3.40%	19.98%	−0.17	−0.17
1971Q4–2024Q4	0.67%	18.52%	0.04	0.26
2020Q1–2024Q4	−2.53%	33.18%	−0.08	−0.17
2024Q1–2024Q4	12.92%	21.31%	0.61	0.61
1971Q4–2024Q4	2.99%	19.30%	0.16	1.13
2020Q1–2024Q4	−13.94%	26.55%	−0.53	−1.17
2024Q1–2024Q4	−7.51%	25.29%	−0.30	−0.30

Horizon	Mean	95% interval	P(neg)
Next quarter	0.064	−0.060 – 0.191	0.16
Next year	0.065	−0.063 – 0.193	0.16
Next five years	0.068	−0.074 – 0.205	0.16
Next quarter	−0.033	−0.200 – 0.167	0.64
Next year	−0.014	−0.183 – 0.167	0.57
Next five years	0.039	−0.138 – 0.196	0.31
Next quarter	0.018	−0.108 – 0.142	0.39
Next year	0.018	−0.111 – 0.145	0.39
Next five years	0.017	−0.122 – 0.156	0.40
Next quarter	−0.059	−0.233 – 0.154	0.71
Next year	−0.037	−0.210 – 0.154	0.65
Next five years	0.026	−0.153 – 0.186	0.37