GP · Profitability · Novy-Marx (2013)

gross profits / total assets

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

Expected return · posterior mean, % per quarter

Next quarter

2.15%

95% interval 0.82% to 3.34%

Next year

1.96%

95% interval 0.83% to 3.03%

Next five years

1.39%

95% interval 0.59% to 2.28%

Next quarter

2.16%

95% interval 0.83% to 3.35%

Next year

1.96%

95% interval 0.83% to 3.03%

Next five years

1.39%

95% interval 0.60% to 2.27%

Next quarter

2.20%

95% interval 1.16% to 3.28%

Next year

2.16%

95% interval 1.16% to 3.21%

Next five years

2.05%

95% interval 1.02% to 3.08%

Next quarter

2.20%

95% interval 1.15% to 3.28%

Next year

2.16%

95% interval 1.15% to 3.21%

Next five years

2.06%

95% interval 1.02% to 3.07%

Cumulative market-adjusted return

+2,927% since 1951Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1951Q3–2024Q4	5.32%	11.58%	0.46	3.94
2020Q1–2024Q4	17.61%	20.51%	0.86	1.92
2024Q1–2024Q4	22.72%	20.79%	1.09	1.09
1951Q3–2024Q4	5.32%	11.58%	0.46	3.94
2020Q1–2024Q4	17.61%	20.51%	0.86	1.92
2024Q1–2024Q4	22.72%	20.79%	1.09	1.09
1951Q3–2024Q4	8.92%	17.31%	0.52	4.42
2020Q1–2024Q4	13.19%	20.61%	0.64	1.43
2024Q1–2024Q4	23.53%	12.30%	1.91	1.91
1951Q3–2024Q4	8.92%	17.31%	0.52	4.42
2020Q1–2024Q4	13.19%	20.61%	0.64	1.43
2024Q1–2024Q4	23.53%	12.30%	1.91	1.91

Horizon	Mean	95% interval
Next quarter	0.374	0.142 – 0.589
Next year	0.339	0.143 – 0.527
Next five years	0.241	0.102 – 0.393
Next quarter	0.375	0.142 – 0.589
Next year	0.340	0.143 – 0.527
Next five years	0.240	0.104 – 0.390
Next quarter	0.254	0.134 – 0.381
Next year	0.250	0.133 – 0.371
Next five years	0.237	0.118 – 0.356
Next quarter	0.254	0.133 – 0.380
Next year	0.250	0.132 – 0.371
Next five years	0.238	0.118 – 0.356