ChTax · Other · Thomas and Zhang (2011)

Change in Taxes

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

Expected return · posterior mean, % per quarter

Next quarter

0.96%

95% interval 0.34% to 1.61%

Next year

0.94%

95% interval 0.32% to 1.59%

Next five years

0.88%

95% interval 0.21% to 1.56%

Next quarter

1.87%

95% interval 1.46% to 2.27%

Next year

1.86%

95% interval 1.38% to 2.32%

Next five years

1.83%

95% interval 1.12% to 2.45%

Next quarter

1.11%

95% interval 0.33% to 1.89%

Next year

1.10%

95% interval 0.31% to 1.90%

Next five years

1.08%

95% interval 0.22% to 1.95%

Next quarter

2.23%

95% interval 1.67% to 2.81%

Next year

2.24%

95% interval 1.59% to 2.88%

Next five years

2.25%

95% interval 1.35% to 3.04%

Cumulative market-adjusted return

+683% since 1962Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q4–2024Q4	3.81%	10.03%	0.38	3.00
2020Q1–2024Q4	3.59%	10.80%	0.33	0.74
2024Q1–2024Q4	22.89%	12.01%	1.91	1.91
1962Q4–2024Q4	9.49%	7.81%	1.22	9.59
2020Q1–2024Q4	5.40%	6.22%	0.87	1.94
2024Q1–2024Q4	12.19%	3.06%	3.98	3.98
1962Q4–2024Q4	4.83%	13.29%	0.36	2.86
2020Q1–2024Q4	3.20%	14.42%	0.22	0.50
2024Q1–2024Q4	23.04%	19.84%	1.16	1.16
1962Q4–2024Q4	11.33%	10.09%	1.12	8.86
2020Q1–2024Q4	6.67%	8.34%	0.80	1.79
2024Q1–2024Q4	11.99%	6.44%	1.86	1.86

Horizon	Mean	95% interval	P(neg)
Next quarter	0.193	0.068 – 0.323	0.00
Next year	0.188	0.064 – 0.318	0.00
Next five years	0.175	0.043 – 0.310	0.01
Next quarter	0.483	0.373 – 0.586	0.00
Next year	0.478	0.355 – 0.594	0.00
Next five years	0.467	0.286 – 0.629	0.00
Next quarter	0.167	0.049 – 0.285	0.00
Next year	0.166	0.046 – 0.287	0.00
Next five years	0.163	0.033 – 0.294	0.01
Next quarter	0.445	0.332 – 0.558	0.00
Next year	0.445	0.316 – 0.567	0.00
Next five years	0.446	0.266 – 0.601	0.00