ExclExp · Composite accounting · Doyle, Lundholm and Soliman (2003)
Excluded Expenses
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1984Q3 to 2024Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.37%
95% interval −0.00% to 0.76%
Next year
0.38%
95% interval −0.01% to 0.76%
Next five years
0.39%
95% interval −0.04% to 0.78%
Cumulative market-adjusted return
+110% since 1984Q3 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1984Q3–2024Q4 | 1.96% | 5.05% | 0.39 | 2.47 |
| 2020Q1–2024Q4 | 0.27% | 6.09% | 0.04 | 0.10 |
| 2024Q1–2024Q4 | −2.51% | 11.96% | −0.21 | −0.21 |
| 1984Q3–2024Q4 | 3.87% | 6.19% | 0.62 | 3.97 |
| 2020Q1–2024Q4 | 2.55% | 4.69% | 0.54 | 1.21 |
| 2024Q1–2024Q4 | 5.78% | 2.67% | 2.17 | 2.17 |
| 1984Q3–2024Q4 | 1.90% | 7.18% | 0.26 | 1.68 |
| 2020Q1–2024Q4 | −4.40% | 6.20% | −0.71 | −1.59 |
| 2024Q1–2024Q4 | −3.42% | 8.05% | −0.43 | −0.43 |
| 1984Q3–2024Q4 | 4.10% | 7.48% | 0.55 | 3.48 |
| 2020Q1–2024Q4 | 2.58% | 5.98% | 0.43 | 0.97 |
| 2024Q1–2024Q4 | 0.03% | 5.45% | 0.00 | 0.00 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.148 | −0.001 – 0.301 | 0.03 |
| Next year | 0.149 | −0.005 – 0.301 | 0.03 |
| Next five years | 0.154 | −0.015 – 0.309 | 0.04 |
| Next quarter | 0.258 | 0.121 – 0.402 | 0.00 |
| Next year | 0.256 | 0.111 – 0.404 | 0.00 |
| Next five years | 0.252 | 0.076 – 0.412 | 0.00 |
| Next quarter | 0.009 | −0.153 – 0.211 | 0.50 |
| Next year | 0.025 | −0.146 – 0.213 | 0.41 |
| Next five years | 0.068 | −0.127 – 0.245 | 0.23 |
| Next quarter | 0.193 | 0.019 – 0.363 | 0.01 |
| Next year | 0.197 | 0.019 – 0.363 | 0.01 |
| Next five years | 0.208 | 0.018 – 0.371 | 0.02 |