Coskewness · Risk · Harvey and Siddique (2000)

Coskewness

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1927Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.54%

95% interval −0.13% to 1.29%

Next year

0.52%

95% interval −0.12% to 1.22%

Next five years

0.45%

95% interval −0.15% to 1.07%

Next quarter

0.53%

95% interval −0.13% to 1.28%

Next year

0.51%

95% interval −0.12% to 1.21%

Next five years

0.45%

95% interval −0.14% to 1.06%

Next quarter

0.79%

95% interval 0.00% to 1.85%

Next year

0.77%

95% interval 0.03% to 1.70%

Next five years

0.70%

95% interval 0.06% to 1.39%

Next quarter

0.80%

95% interval 0.00% to 1.86%

Next year

0.77%

95% interval 0.03% to 1.71%

Next five years

0.70%

95% interval 0.06% to 1.39%

Next quarter

0.51%

95% interval −0.16% to 1.37%

Next year

0.48%

95% interval −0.14% to 1.24%

Next five years

0.40%

95% interval −0.13% to 0.98%

The original paper used a sort or weighting that matches no uniform quintile or decile portfolio. Original paper: custom sort shows that series.

Cumulative market-adjusted return

+194% since 1927Q3 · log scale

Past performance, annualized

Window	Mean	Vol.	Sharpe	t
1927Q3–2024Q4	1.78%	11.61%	0.15	1.51
2020Q1–2024Q4	8.25%	13.39%	0.62	1.38
2024Q1–2024Q4	11.37%	17.05%	0.67	0.67
1927Q3–2024Q4	1.78%	11.61%	0.15	1.51
2020Q1–2024Q4	8.25%	13.39%	0.62	1.38
2024Q1–2024Q4	11.37%	17.05%	0.67	0.67
1927Q3–2024Q4	2.87%	12.77%	0.22	2.22
2020Q1–2024Q4	11.46%	14.91%	0.77	1.72
2024Q1–2024Q4	30.94%	20.72%	1.49	1.49
1927Q3–2024Q4	2.87%	12.77%	0.22	2.22
2020Q1–2024Q4	11.46%	14.91%	0.77	1.72
2024Q1–2024Q4	30.94%	20.72%	1.49	1.49
1927Q3–2024Q4	1.56%	10.46%	0.15	1.47
2020Q1–2024Q4	10.28%	10.44%	0.98	2.20
2024Q1–2024Q4	14.87%	8.21%	1.81	1.81

Forecast Sharpe ratio, per quarter

Horizon	Mean	95% interval	P(neg)
Next quarter	0.093	−0.022 – 0.224	0.06
Next year	0.089	−0.021 – 0.210	0.06
Next five years	0.077	−0.025 – 0.185	0.07
Next quarter	0.092	−0.023 – 0.222	0.06
Next year	0.088	−0.021 – 0.209	0.06
Next five years	0.077	−0.025 – 0.184	0.07
Next quarter	0.124	0.000 – 0.290	0.02
Next year	0.120	0.004 – 0.266	0.02
Next five years	0.110	0.009 – 0.218	0.02
Next quarter	0.125	0.000 – 0.293	0.02
Next year	0.121	0.004 – 0.268	0.02
Next five years	0.110	0.010 – 0.218	0.02
Next quarter	0.097	−0.030 – 0.262	0.08
Next year	0.092	−0.027 – 0.237	0.07
Next five years	0.077	−0.026 – 0.186	0.07