DelEqu · Investment · Richardson et al. (2005)

Change in equity to assets

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

Expected return · posterior mean, % per quarter

Next quarter

0.74%

95% interval −0.04% to 1.49%

Next year

0.76%

95% interval −0.03% to 1.50%

Next five years

0.79%

95% interval −0.02% to 1.54%

Next quarter

1.16%

95% interval 0.33% to 2.00%

Next year

1.18%

95% interval 0.30% to 2.02%

Next five years

1.23%

95% interval 0.22% to 2.13%

Next quarter

0.92%

95% interval −1.06% to 2.33%

Next year

1.01%

95% interval −0.76% to 2.32%

Next five years

1.26%

95% interval −0.08% to 2.37%

Next quarter

1.39%

95% interval −0.04% to 2.68%

Next year

1.46%

95% interval 0.05% to 2.70%

Next five years

1.64%

95% interval 0.22% to 2.83%

Cumulative market-adjusted return

+539% since 1962Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	3.66%	11.83%	0.31	2.45
2020Q1–2024Q4	3.12%	14.69%	0.21	0.48
2024Q1–2024Q4	−12.45%	11.44%	−1.09	−1.09
1962Q3–2024Q4	6.01%	12.80%	0.47	3.71
2020Q1–2024Q4	10.99%	15.02%	0.73	1.64
2024Q1–2024Q4	−8.12%	16.35%	−0.50	−0.50
1962Q3–2024Q4	6.49%	16.06%	0.40	3.20
2020Q1–2024Q4	2.16%	23.17%	0.09	0.21
2024Q1–2024Q4	−48.58%	8.46%	−5.74	−5.74
1962Q3–2024Q4	8.44%	16.44%	0.51	4.06
2020Q1–2024Q4	13.18%	18.90%	0.70	1.56
2024Q1–2024Q4	−18.60%	22.00%	−0.85	−0.85

Horizon	Mean	95% interval	P(neg)
Next quarter	0.126	−0.006 – 0.252	0.03
Next year	0.128	−0.005 – 0.253	0.03
Next five years	0.134	−0.003 – 0.260	0.03
Next quarter	0.182	0.052 – 0.313	0.00
Next year	0.185	0.047 – 0.316	0.00
Next five years	0.192	0.034 – 0.333	0.01
Next quarter	0.115	−0.133 – 0.291	0.15
Next year	0.126	−0.096 – 0.289	0.11
Next five years	0.157	−0.009 – 0.295	0.03
Next quarter	0.170	−0.004 – 0.327	0.03
Next year	0.178	0.006 – 0.328	0.02
Next five years	0.199	0.027 – 0.345	0.01