FR · Composite accounting · Franzoni and Marin (2006)

Pension Funding Status

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1981Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.38%

95% interval −0.90% to 0.25%

Next year

−0.30%

95% interval −0.89% to 0.33%

Next five years

−0.06%

95% interval −0.87% to 0.73%

Next quarter

0.53%

95% interval 0.03% to 1.00%

Next year

0.51%

95% interval −0.07% to 1.07%

Next five years

0.44%

95% interval −0.41% to 1.28%

Next quarter

0.31%

95% interval −0.49% to 1.09%

Next year

0.29%

95% interval −0.52% to 1.11%

Next five years

0.26%

95% interval −0.64% to 1.17%

Next quarter

0.66%

95% interval −0.17% to 1.44%

Next year

0.63%

95% interval −0.23% to 1.48%

Next five years

0.56%

95% interval −0.49% to 1.61%

Cumulative market-adjusted return

−5.2% since 1981Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1981Q3–2024Q4	0.24%	8.45%	0.03	0.19
2020Q1–2024Q4	−4.02%	10.09%	−0.40	−0.89
2024Q1–2024Q4	−3.18%	4.79%	−0.66	−0.66
1981Q3–2024Q4	2.31%	8.71%	0.27	1.75
2020Q1–2024Q4	−3.84%	10.30%	−0.37	−0.83
2024Q1–2024Q4	7.40%	2.40%	3.09	3.09
1981Q3–2024Q4	1.11%	11.61%	0.10	0.63
2020Q1–2024Q4	−0.82%	13.90%	−0.06	−0.13
2024Q1–2024Q4	11.28%	8.84%	1.28	1.28
1981Q3–2024Q4	2.55%	12.24%	0.21	1.38
2020Q1–2024Q4	−4.61%	16.05%	−0.29	−0.64
2024Q1–2024Q4	12.07%	2.18%	5.54	5.54

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.092	−0.218 – 0.059	0.90
Next year	−0.072	−0.214 – 0.080	0.83
Next five years	−0.015	−0.207 – 0.172	0.56
Next quarter	0.125	0.008 – 0.236	0.02
Next year	0.118	−0.016 – 0.250	0.04
Next five years	0.101	−0.094 – 0.294	0.16
Next quarter	0.053	−0.085 – 0.188	0.22
Next year	0.051	−0.089 – 0.192	0.24
Next five years	0.044	−0.109 – 0.201	0.29
Next quarter	0.108	−0.028 – 0.239	0.06
Next year	0.104	−0.037 – 0.244	0.07
Next five years	0.091	−0.081 – 0.263	0.14