DolVol · Volume · Brennan, Chordia, Subra (1998)

Past trading volume

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1926Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.63%

95% interval −2.09% to 0.69%

Next year

−0.48%

95% interval −1.78% to 0.67%

Next five years

−0.07%

95% interval −1.01% to 0.70%

Next quarter

0.48%

95% interval −0.88% to 2.04%

Next year

0.64%

95% interval −0.74% to 2.09%

Next five years

1.11%

95% interval −0.39% to 2.48%

Next quarter

−0.55%

95% interval −1.97% to 0.70%

Next year

−0.45%

95% interval −1.74% to 0.68%

Next five years

−0.15%

95% interval −1.17% to 0.72%

Next quarter

0.87%

95% interval −0.64% to 2.68%

Next year

1.08%

95% interval −0.49% to 2.77%

Next five years

1.69%

95% interval −0.08% to 3.31%

Cumulative market-adjusted return

−11% since 1926Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1926Q3–2024Q4	0.70%	12.92%	0.05	0.54
2020Q1–2024Q4	−12.81%	12.13%	−1.06	−2.36
2024Q1–2024Q4	−23.49%	9.16%	−2.57	−2.57
1926Q3–2024Q4	6.27%	22.70%	0.28	2.74
2020Q1–2024Q4	−3.38%	12.42%	−0.27	−0.61
2024Q1–2024Q4	−6.78%	9.56%	−0.71	−0.71
1926Q3–2024Q4	0.13%	15.50%	0.01	0.09
2020Q1–2024Q4	−11.13%	14.04%	−0.79	−1.77
2024Q1–2024Q4	−21.39%	5.78%	−3.70	−3.70
1926Q3–2024Q4	9.50%	25.72%	0.37	3.66
2020Q1–2024Q4	−3.08%	11.29%	−0.27	−0.61
2024Q1–2024Q4	−4.99%	9.67%	−0.52	−0.52

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.097	−0.328 – 0.106	0.76
Next year	−0.075	−0.278 – 0.103	0.74
Next five years	−0.012	−0.156 – 0.109	0.54
Next quarter	0.043	−0.078 – 0.180	0.27
Next year	0.057	−0.066 – 0.184	0.19
Next five years	0.098	−0.035 – 0.218	0.07
Next quarter	−0.071	−0.257 – 0.091	0.76
Next year	−0.058	−0.225 – 0.088	0.74
Next five years	−0.019	−0.150 – 0.093	0.61
Next quarter	0.068	−0.051 – 0.208	0.15
Next year	0.084	−0.038 – 0.215	0.10
Next five years	0.131	−0.006 – 0.257	0.03