ChEQ · Investment · Lockwood and Prombutr (2010)

Growth in book equity

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

Expected return · posterior mean, % per quarter

Next quarter

1.01%

95% interval 0.25% to 1.71%

Next year

1.02%

95% interval 0.25% to 1.71%

Next five years

1.04%

95% interval 0.26% to 1.74%

Next quarter

1.31%

95% interval 0.62% to 2.01%

Next year

1.28%

95% interval 0.51% to 2.04%

Next five years

1.21%

95% interval 0.16% to 2.14%

Next quarter

1.19%

95% interval 0.15% to 2.21%

Next year

1.22%

95% interval 0.16% to 2.21%

Next five years

1.32%

95% interval 0.18% to 2.30%

Next quarter

1.37%

95% interval 0.41% to 2.34%

Next year

1.38%

95% interval 0.35% to 2.37%

Next five years

1.41%

95% interval 0.14% to 2.51%

Cumulative market-adjusted return

+1,356% since 1962Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	4.88%	10.82%	0.45	3.56
2020Q1–2024Q4	4.40%	13.31%	0.33	0.74
2024Q1–2024Q4	−9.71%	16.86%	−0.58	−0.58
1962Q3–2024Q4	6.24%	12.30%	0.51	4.01
2020Q1–2024Q4	14.14%	14.10%	1.00	2.24
2024Q1–2024Q4	−2.57%	14.96%	−0.17	−0.17
1962Q3–2024Q4	6.63%	14.16%	0.47	3.70
2020Q1–2024Q4	1.87%	18.56%	0.10	0.23
2024Q1–2024Q4	−14.65%	24.03%	−0.61	−0.61
1962Q3–2024Q4	7.45%	14.78%	0.50	3.99
2020Q1–2024Q4	15.49%	16.37%	0.95	2.12
2024Q1–2024Q4	−10.41%	11.84%	−0.88	−0.88

Horizon	Mean	95% interval	P(neg)
Next quarter	0.186	0.046 – 0.316	0.01
Next year	0.188	0.047 – 0.317	0.01
Next five years	0.193	0.048 – 0.323	0.01
Next quarter	0.214	0.102 – 0.329	0.00
Next year	0.209	0.083 – 0.333	0.00
Next five years	0.197	0.026 – 0.348	0.01
Next quarter	0.168	0.021 – 0.312	0.01
Next year	0.173	0.023 – 0.313	0.01
Next five years	0.186	0.026 – 0.325	0.01
Next quarter	0.186	0.057 – 0.317	0.00
Next year	0.187	0.048 – 0.322	0.00
Next five years	0.191	0.019 – 0.340	0.02