DelNetFin · Investment alt · Richardson et al. (2005)

Change in net financial assets

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1952Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.40%

95% interval 0.00% to 0.81%

Next year

0.40%

95% interval −0.01% to 0.81%

Next five years

0.38%

95% interval −0.08% to 0.83%

Next quarter

0.37%

95% interval 0.11% to 0.66%

Next year

0.45%

95% interval 0.13% to 0.77%

Next five years

0.67%

95% interval 0.20% to 1.12%

Next quarter

0.65%

95% interval 0.08% to 1.21%

Next year

0.65%

95% interval 0.07% to 1.22%

Next five years

0.65%

95% interval 0.05% to 1.23%

Next quarter

−0.06%

95% interval −0.46% to 0.49%

Next year

0.11%

95% interval −0.34% to 0.65%

Next five years

0.61%

95% interval 0.00% to 1.20%

Cumulative market-adjusted return

+178% since 1952Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1952Q3–2024Q4	1.67%	7.18%	0.23	1.98
2020Q1–2024Q4	−0.31%	8.49%	−0.04	−0.08
2024Q1–2024Q4	13.59%	8.28%	1.64	1.64
1952Q3–2024Q4	4.64%	5.30%	0.88	7.47
2020Q1–2024Q4	−3.47%	7.23%	−0.48	−1.07
2024Q1–2024Q4	6.98%	6.13%	1.14	1.14
1952Q3–2024Q4	2.86%	10.24%	0.28	2.38
2020Q1–2024Q4	4.69%	16.26%	0.29	0.64
2024Q1–2024Q4	−7.42%	21.20%	−0.35	−0.35
1952Q3–2024Q4	4.94%	6.97%	0.71	6.03
2020Q1–2024Q4	−7.04%	7.49%	−0.94	−2.10
2024Q1–2024Q4	1.41%	8.84%	0.16	0.16

Horizon	Mean	95% interval	P(neg)
Next quarter	0.112	0.001 – 0.226	0.02
Next year	0.111	−0.002 – 0.226	0.03
Next five years	0.105	−0.021 – 0.230	0.05
Next quarter	0.142	0.042 – 0.253	0.00
Next year	0.171	0.051 – 0.296	0.00
Next five years	0.254	0.077 – 0.425	0.00
Next quarter	0.126	0.015 – 0.237	0.01
Next year	0.126	0.014 – 0.237	0.01
Next five years	0.127	0.010 – 0.240	0.02
Next quarter	−0.018	−0.136 – 0.141	0.64
Next year	0.032	−0.100 – 0.186	0.34
Next five years	0.175	0.000 – 0.344	0.02