EBM · Valuation · Penman, Richardson and Tuna (2007)

Enterprise component of BM

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

Expected return · posterior mean, % per quarter

Next quarter

0.38%

95% interval −0.33% to 1.13%

Next year

0.40%

95% interval −0.35% to 1.14%

Next five years

0.45%

95% interval −0.39% to 1.24%

Next quarter

1.33%

95% interval 0.91% to 1.76%

Next year

1.30%

95% interval 0.84% to 1.77%

Next five years

1.23%

95% interval 0.57% to 1.82%

Next quarter

0.40%

95% interval −0.16% to 0.95%

Next year

0.40%

95% interval −0.17% to 0.96%

Next five years

0.38%

95% interval −0.21% to 0.97%

Next quarter

0.84%

95% interval 0.52% to 1.17%

Next year

0.79%

95% interval 0.42% to 1.17%

Next five years

0.64%

95% interval 0.11% to 1.16%

Cumulative market-adjusted return

+177% since 1962Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1962Q3–2024Q4	2.31%	11.70%	0.20	1.56
2020Q1–2024Q4	−1.18%	15.08%	−0.08	−0.18
2024Q1–2024Q4	−2.14%	6.18%	−0.35	−0.35
1962Q3–2024Q4	6.02%	7.77%	0.77	6.12
2020Q1–2024Q4	6.97%	9.17%	0.76	1.70
2024Q1–2024Q4	3.49%	4.01%	0.87	0.87
1962Q3–2024Q4	1.66%	9.41%	0.18	1.40
2020Q1–2024Q4	2.46%	12.06%	0.20	0.46
2024Q1–2024Q4	5.33%	7.14%	0.75	0.75
1962Q3–2024Q4	2.99%	6.23%	0.48	3.79
2020Q1–2024Q4	6.95%	7.61%	0.91	2.04
2024Q1–2024Q4	0.40%	6.93%	0.06	0.06

Horizon	Mean	95% interval	P(neg)
Next quarter	0.065	−0.057 – 0.192	0.15
Next year	0.068	−0.060 – 0.195	0.15
Next five years	0.078	−0.067 – 0.212	0.13
Next quarter	0.344	0.234 – 0.454	0.00
Next year	0.337	0.216 – 0.458	0.00
Next five years	0.318	0.147 – 0.468	0.00
Next quarter	0.086	−0.034 – 0.203	0.08
Next year	0.084	−0.035 – 0.203	0.08
Next five years	0.081	−0.044 – 0.205	0.10
Next quarter	0.274	0.167 – 0.381	0.00
Next year	0.256	0.136 – 0.378	0.00
Next five years	0.206	0.034 – 0.374	0.01