EntMult · Valuation · Loughran and Wellman (2011)

Enterprise Multiple

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1951Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.11%

95% interval −0.01% to 2.16%

Next year

1.15%

95% interval 0.06% to 2.15%

Next five years

1.28%

95% interval 0.23% to 2.20%

Next quarter

1.60%

95% interval 0.94% to 2.33%

Next year

1.63%

95% interval 0.89% to 2.36%

Next five years

1.71%

95% interval 0.76% to 2.53%

Next quarter

1.06%

95% interval −0.72% to 2.52%

Next year

1.14%

95% interval −0.49% to 2.50%

Next five years

1.39%

95% interval 0.02% to 2.55%

Next quarter

1.86%

95% interval 1.06% to 2.76%

Next year

1.90%

95% interval 1.01% to 2.82%

Next five years

2.01%

95% interval 0.84% to 3.08%

Cumulative market-adjusted return

+3,667% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	6.08%	14.99%	0.41	3.48
2020Q1–2024Q4	−2.18%	27.38%	−0.08	−0.18
2024Q1–2024Q4	−6.79%	12.52%	−0.54	−0.54
1951Q3–2024Q4	8.87%	10.84%	0.82	7.02
2020Q1–2024Q4	10.45%	23.01%	0.45	1.02
2024Q1–2024Q4	−1.86%	2.24%	−0.83	−0.83
1951Q3–2024Q4	6.86%	18.59%	0.37	3.16
2020Q1–2024Q4	−5.33%	33.75%	−0.16	−0.35
2024Q1–2024Q4	−19.25%	12.63%	−1.52	−1.52
1951Q3–2024Q4	10.80%	13.49%	0.80	6.86
2020Q1–2024Q4	12.19%	27.71%	0.44	0.98
2024Q1–2024Q4	−1.98%	6.46%	−0.31	−0.31

Horizon	Mean	95% interval	P(neg)
Next quarter	0.148	−0.001 – 0.288	0.03
Next year	0.154	0.008 – 0.286	0.02
Next five years	0.171	0.031 – 0.294	0.01
Next quarter	0.298	0.177 – 0.430	0.00
Next year	0.302	0.167 – 0.436	0.00
Next five years	0.315	0.140 – 0.465	0.00
Next quarter	0.114	−0.078 – 0.272	0.12
Next year	0.123	−0.053 – 0.270	0.08
Next five years	0.149	0.002 – 0.275	0.02
Next quarter	0.279	0.160 – 0.411	0.00
Next year	0.283	0.150 – 0.420	0.00
Next five years	0.298	0.124 – 0.456	0.00