Frontier · Valuation · Nguyen and Swanson (2009)

Efficient frontier index

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

−0.19%

95% interval −2.28% to 1.46%

Next year

−0.09%

95% interval −1.96% to 1.44%

Next five years

0.22%

95% interval −1.24% to 1.50%

Next quarter

1.29%

95% interval −0.52% to 3.38%

Next year

1.49%

95% interval −0.30% to 3.39%

Next five years

2.05%

95% interval 0.28% to 3.58%

Next quarter

0.43%

95% interval −1.60% to 2.27%

Next year

0.47%

95% interval −1.46% to 2.25%

Next five years

0.59%

95% interval −1.20% to 2.29%

Next quarter

2.04%

95% interval 0.11% to 4.31%

Next year

2.24%

95% interval 0.26% to 4.36%

Next five years

2.81%

95% interval 0.64% to 4.69%

Cumulative market-adjusted return

+6.4% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	1.83%	18.98%	0.10	0.76
2020Q1–2024Q4	−11.74%	25.33%	−0.46	−1.04
2024Q1–2024Q4	−30.05%	17.53%	−1.71	−1.71
1963Q3–2024Q4	12.39%	17.75%	0.70	5.47
2020Q1–2024Q4	11.24%	27.30%	0.41	0.92
2024Q1–2024Q4	−9.97%	10.13%	−0.98	−0.98
1963Q3–2024Q4	3.02%	26.96%	0.11	0.88
2020Q1–2024Q4	−3.93%	35.32%	−0.11	−0.25
2024Q1–2024Q4	−32.81%	20.83%	−1.58	−1.58
1963Q3–2024Q4	16.25%	22.71%	0.72	5.61
2020Q1–2024Q4	16.54%	33.08%	0.50	1.12
2024Q1–2024Q4	3.65%	21.10%	0.17	0.17

Horizon	Mean	95% interval	P(neg)
Next quarter	−0.021	−0.243 – 0.154	0.53
Next year	−0.009	−0.208 – 0.152	0.50
Next five years	0.023	−0.131 – 0.158	0.35
Next quarter	0.146	−0.060 – 0.381	0.11
Next year	0.168	−0.034 – 0.383	0.06
Next five years	0.231	0.031 – 0.404	0.01
Next quarter	0.032	−0.119 – 0.168	0.32
Next year	0.035	−0.108 – 0.167	0.30
Next five years	0.044	−0.089 – 0.170	0.24
Next quarter	0.180	0.010 – 0.380	0.02
Next year	0.198	0.023 – 0.384	0.01
Next five years	0.247	0.056 – 0.413	0.01