DelLTI · Investment · Richardson et al. (2005)

Change in long-term investment

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1953Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.45%

95% interval 0.13% to 0.76%

Next year

0.44%

95% interval 0.12% to 0.76%

Next five years

0.41%

95% interval 0.05% to 0.76%

Next quarter

0.55%

95% interval 0.23% to 0.86%

Next year

0.52%

95% interval 0.22% to 0.83%

Next five years

0.44%

95% interval 0.10% to 0.77%

Next quarter

0.75%

95% interval 0.11% to 1.57%

Next year

0.72%

95% interval 0.12% to 1.44%

Next five years

0.61%

95% interval 0.09% to 1.18%

Next quarter

0.91%

95% interval 0.49% to 1.29%

Next year

0.86%

95% interval 0.46% to 1.25%

Next five years

0.69%

95% interval 0.24% to 1.14%

Cumulative market-adjusted return

+221% since 1953Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1953Q3–2024Q4	1.79%	5.54%	0.32	2.73
2020Q1–2024Q4	6.08%	7.79%	0.78	1.75
2024Q1–2024Q4	1.81%	6.23%	0.29	0.29
1953Q3–2024Q4	1.90%	4.86%	0.39	3.30
2020Q1–2024Q4	4.51%	5.03%	0.90	2.01
2024Q1–2024Q4	5.16%	4.91%	1.05	1.05
1952Q3–2024Q4	2.49%	8.79%	0.28	2.41
2020Q1–2024Q4	8.75%	14.52%	0.60	1.35
2024Q1–2024Q4	22.81%	19.42%	1.17	1.17
1952Q3–2024Q4	3.02%	6.19%	0.49	4.16
2020Q1–2024Q4	6.41%	6.81%	0.94	2.11
2024Q1–2024Q4	6.87%	6.12%	1.12	1.12

Horizon	Mean	95% interval	P(neg)
Next quarter	0.163	0.046 – 0.276	0.00
Next year	0.159	0.043 – 0.275	0.00
Next five years	0.147	0.019 – 0.273	0.01
Next quarter	0.229	0.096 – 0.358	0.00
Next year	0.216	0.090 – 0.344	0.00
Next five years	0.181	0.043 – 0.318	0.01
Next quarter	0.172	0.024 – 0.361	0.01
Next year	0.163	0.026 – 0.330	0.01
Next five years	0.139	0.020 – 0.268	0.01
Next quarter	0.298	0.158 – 0.423	0.00
Next year	0.279	0.149 – 0.405	0.00
Next five years	0.224	0.078 – 0.369	0.00